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In recent years there has been much attention given to defining indexes other than market-cap based indices. While market-cap based indices approximate the theoretical Market Portfolio enshrined in textbooks, some people believe we could do better than that. One popular idea is that "market indexes overweight the most overvalued stocks", though this is ...


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Your question is not clear enough. Go long on 3 highest returns... since when? During the past month? If so, at the end of each month you need to compute the average return on each index, and then find the minimum and maximum returns. As simple dummy example, I will generate a matrix of 10 stocks and 30 daily returns. Then I will average those and find ...


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I can share how a pricing application (eg: QuantLib) calculates the VaR with Monte-Carlo. Generate a vector of independent Gaussian random numbers. A typical (and simple) implementation is Box-Muller. I prefer the inverse transform method, and I think this is also the default for QuantLib. Now, we will need to generate correlated returns. We will need a ...



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