Value-at-Risk calculation for portfolio stocks using variance-covariance, historical and MonteCarlo methods. Portfolio can be larger as you want including either the risk factor (stock index, currency, etc.)
Cite As
Flavio Bazzana (2024). PortVaR (https://www.mathworks.com/matlabcentral/fileexchange/2514-portvar), MATLAB Central File Exchange. Retrieved .
MATLAB Release Compatibility
Created with
R2009a
Compatible with any release
Platform Compatibility
Windows macOS LinuxCategories
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