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Vic6
Fluorite | Level 6

Hi guys,

 

I am working on a so called 'risk model' and I have to identify the most 'stable' one from a list of multiple created models - the most equilibrate one considering return vs volatility.
What I am thinking of is to identify the one that has the monthly values closest to the average of the model with smallest variance between months.
In the table presented below is an excerpt comprising results of 18 months of simulation (out of 240) for 5 risk models.

Since the preliminary processing is performed in SAS, can I do the above analysis in an automatic way as well?
Also, if you have other ideas that could help identify the 'best' model, it would be much appreciated.


Best regards!

 

_MONTH_Model_1Model_2Model_3Model_4Model_5
1500350500500500
2138259368276175
328910915866-35
428910915866-35
5900630900900900
6600420600600600
7-1217-464-658-1026-715
8439560800800800
9-3251714946845
10499259368276175
1146813820622-180
1234841958811001100
131792948-44-145
1478-62-84336235
15600420600600600
16629700100010001000
1728910915866-35
18600420600600600
1 REPLY 1
PaigeMiller
Diamond | Level 26

Are you talking about computing a standard deviation of the monthly values for each model?

 

proc summary data=have;
     var model_1-model_5;
     output out=stats stddev=s1-s5;
run;

We're trying to help you, but you have to help us as well. Please go back and provide a meaningful title to your ORIGINAL post. It doesn't help when the title is so vague that it could apply to any post here in the SAS Communities, such as "Data analysis using SAS", which could apply to every post here.

--
Paige Miller

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