Hi David,
Can you please clarify a point regarding the calculation of Var:
Var is calculated as: Volatility*Deviate*Value
Where the deviate (sigma) is calculated as the distance from the mean.
but when calculating Var we ignore the mean(expected return) and we use the value of the portfolio.
Thanks,
Orit
Can you please clarify a point regarding the calculation of Var:
Var is calculated as: Volatility*Deviate*Value
Where the deviate (sigma) is calculated as the distance from the mean.
but when calculating Var we ignore the mean(expected return) and we use the value of the portfolio.
Thanks,
Orit