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* add first iteration of content for Terminal Pro * Update index.md * Update dashboards.md * Update folders.md * Update grouping.md * Update report.md * Update templates.md * Update quick-start.md * Update index.md * Update index.md * Update home.md * Update news.md * Update index.md * Update index.md * Update index.md * Update data-provider.md * Update chat-with-widget.md * Update data-manipulation.md * Update forecasting.md * fix: images self closing tags * fix: only pro visitors can see pro * inter font * improve SEO content and restructuring * add new package for toggle on tutorials * move folder around * improve main page of each prod * small updates and improvements * fix logo above * small improvement in headtitle for portfolio funcs * fix typos from OpenAI's GPT-4 * fix _category_ json * remove generic SEO words * add script that generates SEO for documentation * add missing file * remove sdk warning message * fix links for andrew --------- Co-authored-by: jose-donato <zmcdonato@gmail.com> Co-authored-by: jose-donato <43375532+jose-donato@users.noreply.github.com> Co-authored-by: andrewkenreich <andrew.kenreich@gmail.com>
2.2 KiB
Vendored
2.2 KiB
Vendored
title, description, keywords
| title | description | keywords | |||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| var | Learn how to calculate the Value at Risk (VaR) of your portfolio using different parameters and statistical methods. This guide provides examples and an explanation of all the options. |
|
import HeadTitle from '@site/src/components/General/HeadTitle.tsx';
Provides value at risk (short: VaR) of the selected portfolio.
Usage
var [-m] [-a] [-s] [-p PERCENTILE]
Parameters
| Name | Description | Default | Optional | Choices |
|---|---|---|---|---|
| use_mean | If one should use the mean of the portfolio return | True | True | None |
| adjusted | If the VaR should be adjusted for skew and kurtosis (Cornish-Fisher-Expansion) | False | True | None |
| student_t | If one should use the student-t distribution | False | True | None |
| percentile | Percentile used for VaR calculations, for example input 99.9 equals a 99.9 Percent VaR | 99.9 | True | None |
Examples
2022 Feb 25, 03:09 (🦋) /portfolio/ $ var
Portfolio Value at Risk
┏━━━━━━━┳━━━━━━━━━┳━━━━━━━━━━━━━━━━━┓
┃ ┃ VaR: ┃ Historical VaR: ┃
┡━━━━━━━╇━━━━━━━━━╇━━━━━━━━━━━━━━━━━┩
│ 90.0% │ -0.0148 │ -0.0135 │
├───────┼─────────┼─────────────────┤
│ 95.0% │ -0.0189 │ -0.0197 │
├───────┼─────────┼─────────────────┤
│ 99.0% │ -0.0267 │ -0.0258 │
├───────┼─────────┼─────────────────┤
│ 99.9% │ -0.0353 │ -0.0276 │
└───────┴─────────┴─────────────────┘