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))

Keywords:

Portfolio | Markowitz | Semi-Variance | Risk Management |