estimatePortVaR

Estimate value-at-risk for PortfolioCVaR object

Description

example

pvar = estimatePortVaR(obj,pwgt) estimates value-at-risk for a PortfolioCVaR object where the probability level used is from the PortfolioCVaR property ProbabilityLevel. For details on the workflow, see PortfolioCVaR Object Workflow.

Examples

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Given a portfolio pwgt, use the estimatePortVaR function to estimate the value-at-risk of portfolio.

m = [ 0.05; 0.1; 0.12; 0.18 ];
C = [ 0.0064 0.00408 0.00192 0; 
    0.00408 0.0289 0.0204 0.0119;
    0.00192 0.0204 0.0576 0.0336;
    0 0.0119 0.0336 0.1225 ];
m = m/12;
C = C/12;

rng(11);

AssetScenarios = mvnrnd(m, C, 20000);

p = PortfolioCVaR;
p = setScenarios(p, AssetScenarios);
p = setDefaultConstraints(p);
p = setProbabilityLevel(p, 0.95);

pwgt = estimateFrontierLimits(p);

pvar = estimatePortVaR(p, pwgt);
disp(pvar)
    0.0314
    0.1483

The function rng(seed) resets the random number generator to produce the documented results. It is not necessary to reset the random number generator to simulate scenarios.

Input Arguments

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Object for portfolio, specified using a PortfolioCVaR object.

For more information on creating a PortfolioCVaR object, see

Data Types: object

Collection of portfolios, specified as a NumAssets-by-NumPorts matrix, where NumAssets is the number of assets in the universe and NumPorts is the number of portfolios in the collection of portfolios.

Data Types: double

Output Arguments

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Estimates for value-at-risk of portfolio returns for each portfolio in pwgt, returned as a NumPorts vector.

Tips

You can also use dot notation to estimate the value-at-risk of PortfolioCVaR object.

pvar = obj.estimatePortVaR(pwgt);

Introduced in R2012b