| Units: | Yes/No |
| Mode: | Input Only |
| Multi-band: | False |
| Default Value: | False (0) |
| Validation Rule: | False (0) or True (-1) |
| Key Property: | No |
| Description: | If constraint should be formulated to bound entity net profit risk |
Entity Formulate Risk is a flag indicating if constraints should be formulated to bound the Conditional Value at Risk (CVaR) of Net Profit when running a stochastic portfolio optimization (ST Schedule Stochastic Method = "Stochastic") and the simulation is multi-sample (Risk Sample Count > 1).
Constraints are formulated on the Net Profit in each scenario such that the values are no less than conditional value-at-risk (Risk Level) at the Acceptable Risk.
See also: