Historical Value At Risk
Calculates Historical Value at Risk for a given portfolio of returns
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Calculates Historical Value at Risk for a given portfolio of returns.
E.g.
confidence_level = 0.95;
plot_flag = true;
figure
VAR_hist = computeHistoricalVaR(returns,confidence_level,plot_flag)
Cite As
David Willingham (2026). Historical Value At Risk (https://www.mathworks.com/matlabcentral/fileexchange/38848-historical-value-at-risk), MATLAB Central File Exchange. Retrieved .
Categories
Find more on Portfolio Optimization and Asset Allocation in Help Center and MATLAB Answers
General Information
- Version 1.0.0.1 (11.4 KB)
MATLAB Release Compatibility
- Compatible with any release
Platform Compatibility
- Windows
- macOS
- Linux
