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2 Asset Portfolio VaR

bpdulog

Active Member
Hi,

We are given the following 2 asset portfolio VaR formula:

If no weights are given, how does the above formula change? Or is it just easier to calculate weights?

emilioalzamora1

Well-Known Member

How do you wanna compute weights if you have no information?

bpdulog

Active Member

How do you wanna compute weights if you have no information?
Well let's say you are provided with:

$value of Asset 1; E(R) of Asset 1; SD of Asset 1$ value of Asset 2; E(R) of Asset 2; SD of Asset 2

You can easily calculate the weightings from that - so let's say $75K in Asset 1 and$25K in Asset 2 means 75% and 25% respectively.

bpdulog

Active Member
N/m I figured out the error in my spreadsheet, htnaks!

emilioalzamora1

Well-Known Member
In this case yes because the sum equals to a straight number (100), otherwise:

$Value Asset (A)/Total$Value of the Porfolio = weight of Asset (A)
$Value Asset (B)/Total$Value of the Porfolio = weight of Asset (B)