Windham Portfolio Advisor
Windham Portfolio Advisor
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Installation
Installing the Windham Portfolio Advisor
Installation Prerequisites
Installation FAQ
Time Series
Managing Custom Time Series
Custom Time Series Excel Add-in
Updating the Windham Time Series Database
Mixing Data Periodicities within a Case File
Hedged and Unhedged Time Series
Overlays
Expected Risk
Annualizing Volatility and Return
Correlation
Covariance
Exponential Risk
Quiet and Turbulent Risk
Series Filter
Views (Risk and Correlation)
Expected Returns
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Black-Litterman
Blend
Estimating Future Value: Arithmetic or Geometric
Optimization
Multi-goal Optimization
Transaction Costs and Turnover Controls
Risk Aversion
Full-Scale Optimization
Simulation
Simulation Methods
Exposure to Loss
Value at Risk
Probability of Loss
Risk Budgets
Risk Budgets
Value at Risk Sensitivities
Factor Analysis
Windham Factors
Factor Analysis
Cash Flow Analysis
Cash Flow Rules
Distribution of Wealth
Target Wealth Probability
Miscellaneous
Effective Tax Rates
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Risk Aversion

What is the risk aversion parameter?

Risk aversion specifies how many units of expected return we are willing to forfeit in order to decrease risk (variance) by one unit. A higher risk aversion would suggest a conservative investor and would tilt the optimal portfolio away from highly volatile assets.

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Transaction Costs and Turnover Controls
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Full-Scale Optimization
Last updated 8 months ago