Historical Value At Risk

版本 1.0.0.1 (11.4 KB) 作者: David Willingham
Calculates Historical Value at Risk for a given portfolio of returns
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更新时间 2016/9/1

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Calculates Historical Value at Risk for a given portfolio of returns.
E.g.

confidence_level = 0.95;
plot_flag = true;
figure
VAR_hist = computeHistoricalVaR(returns,confidence_level,plot_flag)

引用格式

David Willingham (2024). Historical Value At Risk (https://www.mathworks.com/matlabcentral/fileexchange/38848-historical-value-at-risk), MATLAB Central File Exchange. 检索来源 .

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版本 已发布 发行说明
1.0.0.1

Updated license
1.0.0.0