for {matrix_fact_in, matrix_fact_out, num} = crossvalidation(10, matrix_scenarios)
                                                                                  
minimize                                                                          
  var_risk_g_75(0.75, matrix_fact_in)                                               
 +var_risk_75(0.75, matrix_fact_in)
                                        
Value:                                                                            
  L_num(matrix_fact_out)                                                          
  L_num(matrix_fact_in)                                                           
                                                                                  
  cvar_dev(0.9, matrix_fact_in)                                                   
  meanabs_dev(matrix_fact_in)                                                     
  st_dev(matrix_fact_in)                                                          
  var_risk(0.75, matrix_fact_in)                                                  
  var_risk_g(0.75, matrix_fact_in)                                                
  var_risk(0.9, matrix_fact_in)                                                   
  var_risk_g(0.9, matrix_fact_in)                                                 
                                                                                  
end for