Portfolio Risk Analytical Methods by Edu Pristine

Author of lecture Portfolio Risk Analytical Methods

Edu Pristine

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... Portfolio value * Position weight age? Diversified Portfolio VaR: is the VaR of the portfolio. Portfolio VaR = Z value? P * Portfolio value ...

... by reducing allocation to those positions which have a high Marginal VaR. Incremental VaR Incremental VaR is the increase in VaR from the addition of a new position ...

...The proportion or weights in the position is wi? Absolute weights can be used as both long and ...

... uncorrelated portfolio is? The VAR for undiversified portfolio when the correlation is one? For a two asset portfolio the general equation ...

... of positions ? : std. dev. That is equal for all N positions? : correlation between the returns of each pair of positions 6 ? ...

... with standard deviation/volatility for each position being 20%. The correlation between each pair is 0.3, and we need to calculate VaR using ...

... Incremental VaR is the new VaR after the revaluation minus the VaR before the addition? VaR measurement becomes more complicated as the portfolio size increases given the expansion of ...

... less than the VaR of the fund by itself because of diversification ...

... which is a form of elliptical distribution. For non -elliptical distribution we use the following steps Step 1: Sort the historical returns of the portfolio Step 2: Find the ...

... marginal VAR Portfolio risk is at a global minimum where all the marginal VARs are ...

... that have the lowest standard deviation. The optimal portfolio also has the highest Sharpe ratio The std. dev. Can also be replaced by the VAR of the portfolio ...