Jan 17

Mean-variance value at risk (VaR). Part 2: two assets & benchmark VaR

by David Harper, CFA, FRM, CIPM

Info

In the sequel to “mean-variance VaR,” we calculate value at risk (VaR) for a portfolio of two assets (the key is simply to calculate portfolio volatility, then input that into the VaR calculation). Then we calculate benchmark-relative VaR, which is a metric for the risk of a portfolio relative to an index such as the S&P 500.

(20 min.)