The PortValAtRisk01.xlsx Model
Portfolio Selection with a Value At Risk/ Percentile Metric
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Choose a portfolio so as to maximize a specified percentile point of its returns distribution, based on a covariance matrix.
Keywords:
Portfolio | | Markowitz | | Value at Risk | | Scenario | | Risk Management | | Covariance | | VaR | | Excel | | WhatsBest | | What'sBest | | What'sBest! | | What's Best | | Percentile | |