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For this you would have to write your own proprietary application (or hire
someone to do it) to accomplish what you want.
Andrew
cwest@xxxxxxxxxxxx wrote:
> 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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