List/Grid Portfolio Analysis in Excel
This Excel spreadsheet implements a Modified Value at Risk (or MVaR) calculation, which adjusts the standard deviation to account for skew and kurtosis in the returns distribution (greater negative skew…
This Excel spreadsheet downloads historical Forex data from the Internet, specifically the daily bid rates.
This Excel spreadsheet calculates Value at Risk through the Monte Carlo simulation of geometrical brownian motion in VBA.
Today I’d like to clarify the concept of Value At Risk. I’ll demonstrate how you can calculate VAR in Excel, but I’ll also discuss some of its limitations.
This Excel spreadsheet helps you calculate the Omega Ratio, a financial benchmark created by Shadwick and Keating in 2002.
This Excel spreadsheet imports historical stock prices from Yahoo Finance (http://finance.yahoo.com).
This Excel spreadsheet calculates the Sortino Ratio for an investment, a measure of risk-adjusted return. Investments that emphasize their Sortino Ratio often try to minimize their losses as a part…
This Excel spreadsheet will calculate the optimum investment weights in a portfolio of three stocks by maximizing the Sharpe Ratio of the portfolio.
This Excel spreadsheet implements Markowitz’s mean-variance theory. It optimizes asset allocation by finding the stock distribution that minimizes the standard deviation of the portfolio while maintaining the desired return.
This article describes how you can implement the Sharpe Ratio in Excel. As an alternative method, I’ll also give some VBA code that can also be used to calculate the…