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# What I Learned Today

No frills, just learn

## Value at Risk on expected return

Value at Risk on expected return is the lower bound for the loss in an investement respect to a probability.
Is a way to estimating losses probabilities in terms of value, instead of standard deviation. E.g. in the case of , means that the investor have a probability  of loosing € or more, investing € on the portfolio .

Considering the system ergodic and thus all the variances of the titles summing up coherently to for a variance of the portfolio distributed within the normal distribution, this is simply calculated considering the quantile (the value of the distribution corresponding to a certain fraction  of probability) .

(!) The  of a portfolio is not a weighted average of the  of its component, because  but is given by the covariance matrix  due to the correlation of assets .

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