Error in demo description?

2 次查看(过去 30 天)
Mirko
Mirko 2014-1-6
Hello, I am not sure if it is an error or my thinking is wrong. In the demo it is written that: "... we can be 90 percent confident that our portfolio will lose no more than 3 percent.<http://www.mathworks.de/company/newsletters/articles/modeling-market-risk-using-extreme-value-theory-and-copulas.html see Link >k
Is this true? I thought that we do not have an extreme loss from more than 3% based on the RETURNS and not on the total Portfolio. We model returns - how can the statement tell us about the data itself?
Can somebody help me to understand if it is about returns or the portfolio.

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