var

Provides value at risk (short: VaR) of the selected portfolio.

Usage

var [-m] [-a] [-s] [-p PERCENTILE]

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Parameters

Name	Description	Default	Optional	Choices
use_mean	If one should use the mean of the portfolio return	True	True	None
adjusted	If the VaR should be adjusted for skew and kurtosis (Cornish-Fisher-Expansion)	False	True	None
student_t	If one should use the student-t distribution	False	True	None
percentile	Percentile used for VaR calculations, for example input 99.9 equals a 99.9 Percent VaR	99.9	True	None

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Examples

2022 Feb 25, 03:09 (🦋) /portfolio/ $ var
       Portfolio Value at Risk
┏━━━━━━━┳━━━━━━━━━┳━━━━━━━━━━━━━━━━━┓
┃       ┃ VaR:    ┃ Historical VaR: ┃
┡━━━━━━━╇━━━━━━━━━╇━━━━━━━━━━━━━━━━━┩
│ 90.0% │ -0.0148 │ -0.0135         │
├───────┼─────────┼─────────────────┤
│ 95.0% │ -0.0189 │ -0.0197         │
├───────┼─────────┼─────────────────┤
│ 99.0% │ -0.0267 │ -0.0258         │
├───────┼─────────┼─────────────────┤
│ 99.9% │ -0.0353 │ -0.0276         │
└───────┴─────────┴─────────────────┘

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