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Table 5 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 0.02
VaR99% 201.47 227.40 244.65 251.17 240.88 200.41
VaR99.5% 223.07 248.57 264.45 268.46 253.84 206.46
VaR99.9% 267.62 292.22 305.28 304.10 280.57 218.93