Efficient Surface Availability

Applies to:

• Evolver 7.x and up

• @RISK 7.x and up, Industrial Edition (RISKOptimizer)

Question:
Is Efficient Surface available in RISKOptimizer and Evolver?

Answer:
The concept of Efficient Surface (also called Efficient Frontier Surface or Efficient Plane) is a 3-dimensional generalization of the Efficient Frontier. It helps determine the optimal value of one quantity, given fixed bounds on the other two quantities.

Availability:

• This functionality is not available out of the box in RISKOptimizer or Evolver.

• However, it can be implemented using the programming interface of @RISK for Excel.

Example Approach:

1. Start with a regular Efficient Frontier analyzing the tradeoff between mean and standard deviation.

2. Add an additional constraint, for example, on skewness.

3. Using @RISK’s programming interface, you can iteratively calculate the frontier across multiple dimensions to construct an Efficient Surface.

Note:

• Creating an Efficient Surface requires knowledge of VBA or another supported scripting approach in @RISK for Excel.

• This method allows flexibility in exploring tradeoffs beyond 2 dimensions, such as mean, variance, and skewness simultaneously.