The Geodesic Edge


Active asset management has been under attack during the past several months. Active mutual funds have been losing ground as well to their passive counterparts.

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Value at Risk Estimation Error [0.03]

Posted on May 16, 2017, 5:40 p.m. by The Geodesic Edge @ [source]

Value at risk or VaR is a widely used risk metric in the financial industry for quantifying the expected capital loss one should realize for a portfolio on the worst of 20 days (in the 95% VaR case) or the worst in 100 days (in the 99% VaR case).

We will only consider this function for positive values.

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