estimatePortVaR

Estimate value-at-risk for PortfolioCVaR object

Syntax

``pvar = estimatePortVaR(obj,pwgt)``

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

collapse all

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

collapse all

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

collapse all

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);`

Version History

Introduced in R2012b