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Software Description:
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About CVaR Expert, This program allows you to manage your portfolio risk. It implements conditional value-at-risk, BetaVaR, component VaR and traditional VaR measures for large portfolios. An integrated optimizer can solve for the minimum CVaR portfolio, based on market data and investor preferences, while a Stochastic simulation module allows you to graph the CVaR return space for all feasible portfolios. |
