Application Center - Maplesoft

App Preview:

VaR and Portfolio Rebalancing

You can switch back to the summary page by clicking here.

Learn about Maple
Download Application

VaR and Portfolio Rebalancing

The following was implemented in Maple by Marcus Davidsson (2010)






We start by noting that the fifth percentile represent the threshold that
makes sure that 5% of the return distribution lies below such a threshold
with 95% confidence.


If we take the integral from -infinity to such a threshold we get 0.05.

Such a threshold can be seen below:








Now the VaR is a function of two components


i) the portfolio mean

ii) the portfolio variance



For the portfolio variance.