How can I calculate the Value at Risk with 95% confidence for a Portfolio of 3 assets, simulating 360 daily returns. The assets have equal weights, asset 1 (mean = 0.001, stan dev = 0.02), asset 2 (mean = 0.002, stand dev = 0.03) and active 3 (mean = 0.0015, stan dev = 0.025). I already have the VAR of each asset, but how do I integrate the 3 in a single portfolio?
How can I calculate the Value at Risk of a portfolio 3 assets in Python? Do I have to use arrays?
124 Views Asked by Ande P At
1
There are 1 best solutions below
Related Questions in PYTHON
- How to store a date/time in sqlite (or something similar to a date)
- Instagrapi recently showing HTTPError and UnknownError
- How to Retrieve Data from an MySQL Database and Display it in a GUI?
- How to create a regular expression to partition a string that terminates in either ": 45" or ",", without the ": "
- Python Geopandas unable to convert latitude longitude to points
- Influence of Unused FFN on Model Accuracy in PyTorch
- Seeking Python Libraries for Removing Extraneous Characters and Spaces in Text
- Writes to child subprocess.Popen.stdin don't work from within process group?
- Conda has two different python binarys (python and python3) with the same version for a single environment. Why?
- Problem with add new attribute in table with BOTO3 on python
- Can't install packages in python conda environment
- Setting diagonal of a matrix to zero
- List of numbers converted to list of strings to iterate over it. But receiving TypeError messages
- Basic Python Question: Shortening If Statements
- Python and regex, can't understand why some words are left out of the match
Related Questions in VAR
- Volatile properties in Kotlin?
- Block scope, function scope and local scope in Javascript
- Using members of Var type
- Making var 's in a for-loop
- IIFE: var vs this - is there any difference?
- Very weird behavior when using "var" keyword in an ajax request
- Erro on VB "Expecting an existing scalar var"
- Var undefined when I use a loader in three.js
- passing java script value to java method in JSP
- dynamically change javascript source with onclick event
- Stuck with JavaScript function when generating number
- swift Class variables not being changed when accessed from another class
- jQuery "null" when assign a value
- How to do math with variables from different functions
- Excel: How to store an answer in the same cell? How can I accomplish var1+var2= >Store: var2
Related Questions in PORTFOLIO
- How to add Portfolio Charting to my website?
- Portfolio Frontier not Working for large dataset
- Wordpress Portfolio Categories in Dropdown instead of tabs
- R fPortfolio covariance risk budget constraint
- Constrained Linear Optimization Setup
- How to add a constraint in CVaR optimization code in Matlab?
- How to use special characters in filterable portfolio links?
- portfolio optimization in R
- portfolio optimisation with CVaR not working in fPortfolio package
- EnergyStar Portfolio Manager - Java Client to consume their REST API with Authentication
- Wordpress responsive portfolio grid issue
- How to prepare all urls for a transfer from: Domain/ftpfolder/page to domain2/page?
- R How can I use the apply function to a time series object and keep the dates attached to the specific columns?
- Calculating Portfolio return from Log-returns
- jQuery XML Portfolio Gallery
Related Questions in RISK-ANALYSIS
- How can i add risk table for cumulative incidence function using ggcuminc, splitting events in both event types as well as strata
- Maximum Decorrelation portfolio optimisation
- I need to extract the HR, 95% confidence intervals and p values from univariate competing risk analysis analysis for multiple covariates using cmprsk
- How can I add a risk table with the breakdown of each event type in the cumulative incidence function plot using 'ggcuminc'?
- Issue with calculation of cumulative incidence in R using tidycmprsk package
- How can I calculate the Value at Risk of a portfolio 3 assets in Python? Do I have to use arrays?
- Statsmodel Zero Inflated Poisson doesn't converge (statsmodels.discrete.count_model.ZeroInflatedPoisson)
- Discrepancy between calculated p values
- riskRegression() function: confusing examples in R package riskRegression vignette
- how to change color of censor tick and truncate KM curve if number at risk is < 5 using lifelines library?
- Plot a difficult function in R and find the root by bisection
- R: Converting daily timeseries data to monthly
- 'Undefined columns selected' error when trying to calculate population attributable risk from a Cox model (using AF::AFcoxph in R)?
- How to compute the combined probability of loss for 2 time series (consisting of historical stock prices)?
- estimate sector exposure of mutual funds
Trending Questions
- UIImageView Frame Doesn't Reflect Constraints
- Is it possible to use adb commands to click on a view by finding its ID?
- How to create a new web character symbol recognizable by html/javascript?
- Why isn't my CSS3 animation smooth in Google Chrome (but very smooth on other browsers)?
- Heap Gives Page Fault
- Connect ffmpeg to Visual Studio 2008
- Both Object- and ValueAnimator jumps when Duration is set above API LvL 24
- How to avoid default initialization of objects in std::vector?
- second argument of the command line arguments in a format other than char** argv or char* argv[]
- How to improve efficiency of algorithm which generates next lexicographic permutation?
- Navigating to the another actvity app getting crash in android
- How to read the particular message format in android and store in sqlite database?
- Resetting inventory status after order is cancelled
- Efficiently compute powers of X in SSE/AVX
- Insert into an external database using ajax and php : POST 500 (Internal Server Error)
Popular Questions
- How do I undo the most recent local commits in Git?
- How can I remove a specific item from an array in JavaScript?
- How do I delete a Git branch locally and remotely?
- Find all files containing a specific text (string) on Linux?
- How do I revert a Git repository to a previous commit?
- How do I create an HTML button that acts like a link?
- How do I check out a remote Git branch?
- How do I force "git pull" to overwrite local files?
- How do I list all files of a directory?
- How to check whether a string contains a substring in JavaScript?
- How do I redirect to another webpage?
- How can I iterate over rows in a Pandas DataFrame?
- How do I convert a String to an int in Java?
- Does Python have a string 'contains' substring method?
- How do I check if a string contains a specific word?
You can't sum the var of each asset. To calculate de VaR of a portfolio do you need to take in consideration the covariance of those assets.
I think this link will help you: https://financetrain.com/value-at-risk-of-a-portfolio
If you have another question, fill free to ask.