Initial

Solver searches for the values od E15:E19

Position 100 that minimize D25 subject to the constrain
that F19=0.
a 0.1
b 0.05
c 0.03
SD 0.1
Conf. Level 0.95

q_i x_i
$ amount $ position Price
Day traded end of day Variance Spread Cost
1 48.9 51.1 26.1186393
2 30.0 21.1 4.46786361
3 14.1 7.0 0.49362693
4 5.1 1.9 0.03646384
5 1.9 0.0 1.2326E-30

Total 100.0 31.1165937

VaR adjusted for bid-offer spread

22.0541642
 rches for the values od E15:E19
mize D25 subject to the constraint
0.

Bid-Offer
Spread Cost
7.743982
3.339546
1.244299
0.404942
0.146031

12.8788