Does anyone know of any research/software providers that can run BL + resampled MVO asset allocation calculations as well as ruin probability charts for longevity risk?
I want to use the second application and vary the portfolio allocations and age at death. Thank-you.
Huh. Program this yourself. How hard can it be?
Would you be willing to share how I would go about doing so?
Go to freelancer dot com and pay some Indians to program it for you.
You can do this fairly easily with @Risk in Excel.
You have to define your scenarios mathematically and beyond the generic vague description above. Then, you choose a model for your random process, and apply the conditions. You can do this with any programming software - probably VBA if you are a noob. Otherwise, you basically asked a question like “write a program to calculate VAR for my portfolio”, which cannot be done without your input.
Nice. Thanks.
I already knew this. I asked if anyone knew of a provider that does this not would you do this for me.
Everyone I know just uses Excel, except some of my tech colleagues who use Mathematica.
No R?
Matlab + risk management toolbox, will cost come gold and you need to know how to code a little bit