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I'd very much appreciate it if anyone would care to share their experience
in the area of risk sensitive portfolio allocations. For example, given a
portfolio of many stocks, each of which experiences a different volatility,
what software is known to adjust the quantity of each stock so that the
volatility of a portfolio is reduced or increased to a targeted risk.
I've tried doing this in Excel using the solver add-in, but it's very
cumbersome to keep it up to date; i.e., maintaining the targeted volatility
level each day.
Colin West
cwest@xxxxxxxxxxxx
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