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Table 4 Value-at-Risk for a portfolio of two assets (correlation ρ= 0.5)

From: Value-at-risk under ambiguity aversion

c = 0.5 0.4 0.3 0.2 0.1 0.05
VaR99% 307.75 331.53 342.05 336.20 304.65 269.14
VaR99.5% 340.75 363.87 372.30 362.60 324.45 283.53
VaR99.9% 408.80 430.54 434.67 417.04 365.28 313.19