portvrisk
Portfolio value at risk (VaR)
Syntax
Description
returns the maximum potential loss in the value of a portfolio over one period of
time (that is, monthly, quarterly, yearly, and so on) given the loss probability
level. ValueAtRisk
= portvrisk(PortReturn
,PortRisk
)portvrisk
calculates ValueAtRisk
using a normal distribution.
adds
optional arguments for ValueAtRisk
= portvrisk(___,RiskThreshold
,PortValue
)RiskThreshold
and PortValue
.
Examples
Input Arguments
Output Arguments
Version History
Introduced before R2006a