var

Get portfolio VaR

Source Code: [link]

openbb.portfolio.var(portfolio_engine: portfolio_engine.PortfolioEngine, use_mean: bool = False, adjusted_var: bool = False, student_t: bool = False, percentile: float = 99.9)

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Parameters

Name	Type	Description	Default	Optional
portfolio_engine	PortfolioEngine	PortfolioEngine class instance, this will hold transactions and perform calculations. Use portfolio.load to create a PortfolioEngine.	None	False
use_mean	bool	if one should use the data mean return	False	True
adjusted_var	bool	if one should have VaR adjusted for skew and kurtosis (Cornish-Fisher-Expansion)	False	True
student_t	bool	If one should use the student-t distribution	False	True
percentile	float	var percentile (%)	99.9	True

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Returns

Type	Description
pd.DataFrame	DataFrame with portfolio VaR

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Examples

from openbb_terminal.sdk import openbb
p = openbb.portfolio.load("openbb_terminal/miscellaneous/portfolio_examples/holdings/example.csv")
output = openbb.portfolio.var(p)

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