VaR and Portfolio Rebalancing - Maple Application Center
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VaR and Portfolio Rebalancing

Author
: marcus .
Engineering software solutions from Maplesoft
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I will in this worksheet first of all show that a
portfolio's VaR is a function of the portfolio
variance but also the portfolio expected return.

I will then show that a simple diversified
50% bond and 50% momentum strategy can
explains a lot of the portfolio returns.
The universe consists of 23 global stockmarket
indicies.

Such universe is very small but it still manage
to produce attractive returns which is good
news for a disciplined small time investor.

Application Details

Publish Date: September 01, 2010
Created In: Maple 14
Language: English

Tags

economics

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