清空筛选条件
清空筛选条件

Calculate VaR for equity portfolio

2 次查看（过去 30 天）
Paul
Paul 2014-10-13
评论： Paul 2014-10-14
Hi all,
I have a portfolio stored in a database which is varying in real time. I would like to calculate a simple VaR based on the positions and so on. Any help or advise on this topic or documentation somebody can point me to? thanks in advance

请先登录，再回答此问题。

回答（1 个）

Siddharth Sundar
Siddharth Sundar 2014-10-14
You could first create a PortfolioCVaR object. The PortfolioCVaR object has a method to compute the value-at-risk of portfolios called estimatePortVaR which you can then leverage to calculate the value-at-risk.
This link talks about how you can create a PortfolioCVaR object.
This link talks about obtaining Portfolio VaR from the PortfolioCVaR object.
  1 个评论
Paul
Paul 2014-10-14
thanks i will try it out asap and let you know if it worked for me

请先登录，再进行评论。

类别

在 Help Center 和 File Exchange 中查找有关 Asset Returns and Scenarios 的更多信息

标签

产品

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by