Risk-Constrained Stock Index (RCSI)
In classical breeding, a restricted selection index improves yield while holding critical traits constant.
This defines the Risk-Constrained Stock Index (RCSI), designed for conservative portfolios.
Optimization Objective
Maximize Σ bᵢ · xs,i
Subject to Risk Constraint
σs ≤ σmax
Meaning of Terms
- xs,i – Return-related factor
- bᵢ – Weight of factor i
- σs – Observed risk
- σmax – Maximum tolerated risk
Interactive Risk-Constrained Index Evaluator
| Return Factor | xs,i (Score) | bᵢ (Weight) |
|---|
Interpretation:
RCSI ensures return optimization never violates predefined risk tolerance.
RCSI ensures return optimization never violates predefined risk tolerance.
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