Modeling a Portfolio

This model demonstrates how the GoldSim financial elements can be used to model a portfolio of stocks. The History Generator element can generate vectors of stochastic data which can be correlated using a number of different copulas. In this case, the HistGenerator element outputs data for ten different stocks.

Like a scalar history generator, growth rate, volatility, reversion, initial price and median price must be specified (except that these inputs must now be linked to vector type outputs). In this model, these variables are different for each stock. A sparse correlation matrix and a Gaussian copula have also been specified to further reflect the behavior of those stocks. The HistGenerator element serves as an input to a vector-type Investment element then tracks movement in a portfolio with an initial invesment of $50,000 in each of the ten stocks.

To Open the Model File:

1. Start GoldSim
2. Click on the File and select Open Example...
3. Browse to General Examples --> Financial Examples
4. Select the file called Portfolio.gsm