The PortScenSemiVarA02.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))

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Portfolio | Downside Risk | Markowitz | Scenario | Semi-Variance | Risk Management | Excel | WhatsBest | What'sBest | What'sBest! | What's Best |