## Value at Risk on expected return

- By Andrea Idini
- In Finance Science
- With No Comments
- Tagged with definition portfolio
- On 10 May | '2015

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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 .