Solution - VaR

Solution - VaR#

# Output from previous execution
  AAPL META NVDA TSLA portfolio portfolio-ex TSLA stand-alone TSLA
vol 60.90% 77.34% 101.99% 129.10% 69.46% 64.31% 32.27%
VaR 0.05 -5.64% -7.00% -8.69% -11.74% -6.19% -5.58% -2.93%
CVaR 0.05 -8.31% -10.32% -11.65% -14.78% -8.50% -8.06% -3.70% 
# Output from previous execution
../_images/8e689c234a7071f8fc672031327c047d462b8315432c60f8173d16ad915b7ac1.png 
# Output from previous execution
../_images/303c9c6cc51cbdcccf8897659f021d61377f88190940643b20f223740975d1e3.png 
# Output from previous execution
../_images/0450ce29a9552c13de90a1956710a9124e7b89e695b82a84c65841c6fcad6e32.png 
# Output from previous execution
  VaR CVaR
  unconditional conditional unconditional conditional
AAPL -5.6% -8.5% -8.3% -10.6%
META -7.0% -9.5% -10.3% -12.0%
NVDA -8.7% -13.6% -11.6% -17.1%
TSLA -11.7% -13.7% -14.8% -17.1%
portfolio -6.2% -8.9% -8.5% -11.1% 
# Output from previous execution
  Hit Ratio
AAPL 4.98%
META 4.24%
NVDA 4.24%
TSLA 4.98%
portfolio 4.06%