TAILIEUCHUNG - Lecture Financial risks management - Topic 4: Modeling portfolio risk, return, and VaR

Topic 4 - Modeling portfolio risk, return, and VaR. In this chapter, the learning objectives are: Compute portfolio return, risk, var using excel and matrix operations; compute optimal portfolios; computing VaRs and Confidence Intervals using @Risk. | Financial Risk Management Topic #4 Modeling Portfolio Risk, Return, and VaR L. Gattis Learning Objectives Compute portfolio return, risk, VaR using Excel and Matrix Operations Compute optimal portfolios Computing VaRs and Confidence Intervals using @Risk Data – Copy and Paste Cells into Excel 4 Compute Portfolio Mean and Volatility using Matrix Formulas Mean Return = mmult(WT,Ret) Where W= Column Vector of Weights WT= Transpose of Column Vector of Weights = Row Vector or Weights Ret= Column Vector of Returns Press Control-Shift-Enter to enter arrays in excel Std Dev. = mmult(mmult(transpose(W),S),W)^.5 Where S= Covariance Matrix Press Control-Shift-Enter to enter arrays in excel Hint: Creating named ranges of W, Ret, and S will make it easier to write matrix formulas VaR and @Risk Inputs (Expected Return) Define Distribution (Normal) Distribution Parameters (Mean and Std dev) Add Output (Portfolio Value) Simulation Settings 10,000 iterations, 1 simulation Run Simulation Evaluate Results Mean, Standard deviation VaR, Confidence Interval Click on output sell, browse results Right click on graph, Copy Distribution graph Problems Compute portfolio mean and standard deviation of $1,000,000 portfolio above. Compute the 95%, 1-year VaR, and 95%, 10-day VaR (assume 252 days) Compute the 80% confidence interval portfolio profit and probability of losing $100,000 in one year using @Risk. Copy and display the 80% confidence interval graph. Use 10,000 iterations. Compute optimal portfolio weights for a 10% standard deviation portfolio with no short sales (hint: maximize returns, . vol=10%, ƩW=1, W>=0. Compute the 1-year, 95% VaR of this portfolio

• Tài chính doanh nghiệp
• Modeling portfolio risk
• Risk management
• Financial risks management
• Lecture Financial risks management
• Quản trị rủi ro
• Quản trị rủi ro tài chính
• Financial modeling
• Lecture Financial modeling
• Asset expected return
• Portfolio risk
• Computing portfolio risk
• Portfolio models
• Portfolio optimization
• Portfolio risk return optimization
• Modeling support
• Portfolio value at risk
• Random walk simulations
• Monte Carlo simulation
• Estimating asset risk
• Asset risk
• Financial simulations
• Retirement ratios
• Changing asset allocation