The PortScenSemiVarA.xlsx Model

Semi-Variance for Portfolio Selection

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SemiVar is a measurement of data used to estimate downside risk.
Calculated by measuring dispersion of only observations falling below the mean i.e., it measures only variability below the mean.
Svar = sum(Scenario s: probability(s) * (max(0, ExpectedReturn – ReturnOfScenario(s))^2))


Portfolio | Markowitz | Semi-Variance | Risk Management |