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Table 3 Value-at-Risk for a portfolio of two assets (correlation ρ = 0)

From: Value-at-risk under ambiguity aversion

c = 0.5 0.4 0.3 0.2 0.1 0.05
VaR99% 260.09 284.84 298.38 298.07 276.06 248.37
VaR99.5% 287.99 312.17 323.94 320.39 292.79 260.53
VaR99.9% 345.50 368.52 376.66 366.40 327.30 285.60