Fig. 1
From: Stressed portfolio optimization with semiparametric method
The portfolio value of the semiparametric model with VaR and S&P 500 from 2016 to 2020. This figure shows the portfolio value of S&P 500 (blue line) and Semiparametric method with VaR (\(\alpha =0.05, yello line\)) in five years (2016 to 2020). The initial value of portfolio is 100. It is clear that the semiparametric method has better performance in return