We define four attributes on the scenarios set--PRB, R, DVU, DVL. PRB stores the probabilities of the scenarios, R the expected rate of return under each scenario for a given allocation amongst the stocks, DVU is the deviation above average return for each scenario for a given stock allocation, and DVL is the deviation below average return for each scenario for a given stock allocation.

The X attribute is defined on the stocks set. X denotes the fraction of the portfolio allocated to each stock. The members of X must be determined and constitute the decision variables of the model.

Finally, on the SXI set, we define the VE attribute, which stores the table containing the returns of each stock under each scenario.