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Value-at-Risk calculation for portfolio stocks using variance-covariance, historical and MonteCarlo methods. Portfolio can be larger as you want including either the risk factor (stock index, currency, etc.)
Cite As
Flavio Bazzana (2026). PortVaR (https://se.mathworks.com/matlabcentral/fileexchange/2514-portvar), MATLAB Central File Exchange. Retrieved .
Categories
Find more on Portfolio Optimization and Asset Allocation in Help Center and MATLAB Answers
General Information
- Version 1.3.0.0 (274 KB)
MATLAB Release Compatibility
- Compatible with any release
Platform Compatibility
- Windows
- macOS
- Linux
