PortVaR

Version 1.3.0.0 (274 KB) by Flavio Bazzana
VaR for portfolio stocks
4.7
(10)
10.7K Downloads
Updated 20 May 2009

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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 (2026). 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 Linux
Categories
Find more on Portfolio Optimization and Asset Allocation in Help Center and MATLAB Answers
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Version Published Release Notes
1.3.0.0

Adding the BSD License
1.0.0.0

Adding data sample