2 Asset Portfolio VaR

[bpdulog]

Hi,

We are given the following 2 asset portfolio VaR formula:



If no weights are given, how does the above formula change? Or is it just easier to calculate weights?

 

[emilioalzamora1]

Do you have some more information about this question please otherwise it is hard to help you with this. If you have no weights and I usually assume you have 50/50 among the two assets.

How do you wanna compute weights if you have no information?

 

[bpdulog]

Do you have some more information about this question please otherwise it is hard to help you with this. If you have no weights and I usually assume you have 50/50 among the two assets.

How do you wanna compute weights if you have no information?

Well let's say you are provided with:

$ value of Asset 1; E(R) of Asset 1; SD of Asset 1
$ value of Asset 2; E(R) of Asset 2; SD of Asset 2

You can easily calculate the weightings from that - so let's say $75K in Asset 1 and $25K in Asset 2 means 75% and 25% respectively.

 

[bpdulog]

N/m I figured out the error in my spreadsheet, htnaks!

 

[emilioalzamora1]

In this case yes because the sum equals to a straight number (100), otherwise:

$Value Asset (A)/Total $Value of the Porfolio = weight of Asset (A)
$Value Asset (B)/Total $Value of the Porfolio = weight of Asset (B)