This article was originally published on Built In by Eric Kleppen. Variance is a powerful statistic used in data analysis and machine learning. It is one of the four main measures of variability along ...

Will Kenton is an expert on the economy and investing laws and regulations. He previously held senior editorial roles at Investopedia and Kapitall Wire and holds a MA in Economics from The New School ...

This paper describes, analyzes and evaluates an algorithm for estimating portfolio loss probabilities using Monte Carlo simulation. Obtaining accurate estimates of such loss probabilities is essential ...

We study bounds on the Value-at-Risk (VaR) of a portfolio when besides the marginal distributions of the components its variance is also known, a situation that is of considerable interest in risk ...

When it comes to managing a portfolio with hundreds of millions or billions of dollars, it’s important to have a firm handle on risk. Specifically, fund managers need to calculate the Value at Risk ...