XlQuant
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    PORT.CVaR.NORMAL
    In This Topic
    Returns the Conditional Value-At-Risk of a Normal Linear Model

    ARGUMENTS

    Asset returns Mean of asset returns Vector
    Covariance Covariance of asset returns Matrix
    Weights Vector of weights Vector
    Portfolio The current value of the portfolio Real number
    Horizon Horizon Integer
    Alpha The significance level Real number

     

     

    XlQuant version : 1.0.16.0