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.

market performance securities sharpe ratio stock strategies strategy trader trading year

 

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.

data error estimate estimation exponential quantile results statistic values VaR