VaR Analysis of Investment Portfolio

Journal of Chuxiong Normal University ›› 2022, Vol. 37 ›› Issue (3): 72-77.

• Mathematics & Computer Science • Previous Articles Next Articles

VaR Analysis of Investment Portfolio

Xiaoting Gan^*, Yushan Wu, Qiaomei Gu, Ming Xu

School of Mathematics and Computer Science, Chuxiong Normal University, Chuxiong, Yunnan Province 675000

Received:2021-04-23 Published:2022-06-30

Abstract

Abstract: In this paper, three common methods of VaR model -parameter method, historical simulation method and Monte Carlo simulation method -are adopted to calculate the value at risk of investment portfolio, respectively. By selecting the data of 20 stocks from October 8, 2018 to March 1, 2019, the constituent stocks of the stock fund index during this period are taken as the investment portfolio, and the VaR value under a certain holding period and given confidence is estimated by using Matlab programming calculation. Numerical results show that there is little difference between the three methods, and the parametric method is better.

Key words: Portfolio, Value at risk, VaR Model

CLC Number:

F830.59

Xiaoting Gan, Yushan Wu, Qiaomei Gu, Ming Xu. VaR Analysis of Investment Portfolio[J]. Journal of Chuxiong Normal University, 2022, 37(3): 72-77.

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