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_1 | Model_2 | Model_3 | Model_4 | Model_5 |
1 | 500 | 350 | 500 | 500 | 500 |
2 | 138 | 259 | 368 | 276 | 175 |
3 | 289 | 109 | 158 | 66 | -35 |
4 | 289 | 109 | 158 | 66 | -35 |
5 | 900 | 630 | 900 | 900 | 900 |
6 | 600 | 420 | 600 | 600 | 600 |
7 | -1217 | -464 | -658 | -1026 | -715 |
8 | 439 | 560 | 800 | 800 | 800 |
9 | -325 | 17 | 14 | 946 | 845 |
10 | 499 | 259 | 368 | 276 | 175 |
11 | 468 | 138 | 206 | 22 | -180 |
12 | 348 | 419 | 588 | 1100 | 1100 |
13 | 179 | 29 | 48 | -44 | -145 |
14 | 78 | -62 | -84 | 336 | 235 |
15 | 600 | 420 | 600 | 600 | 600 |
16 | 629 | 700 | 1000 | 1000 | 1000 |
17 | 289 | 109 | 158 | 66 | -35 |
18 | 600 | 420 | 600 | 600 | 600 |
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;
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