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

VaR and Portfolio Rebalancing

: marcus .
Engineering software solutions from Maplesoft
This Application runs in Maple. Don't have Maple? No problem!
 Try Maple free for 15 days!

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

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



More Like This

Constrained Optimization
Nash Equilibrium in a Static and Dynamic Duopoly Cournot Model
The Normal Distribution and the Central Limit Theorem
Stability of Differential Equations
Dynamic Programming and the Bellman Equation
Predator and Prey Model
The Black-Litterman Asset Allocation Model
Intertemporal Consumption Dynamics
Cake Eating in Finite and Infinite Time
Simulation of Stock Paths
The Concept of Significance
Saddle Path Equilibrium in a Phase Plane and Space