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VaR function

01 / 10 / 2021 Assignment

This paper circulates around the core theme of VaR function together with its essential aspects. It has been reviewed and purchased by the majority of students thus, this paper is rated 4.8 out of 5 points by the students. In addition to this, the price of this paper commences from £ 99. To get this paper written from the scratch, order this assignment now. 100% confidential, 100% plagiarism-free.

1)    Use some of the Peer Group data to construct a 20 variable VaR function, drawdown function and minimize them using MATLAB Optimization Toolbox. Choose sub-time intervals to compare the performance of thus formed portfolios against equal-weight fund into the future (for example, if data are given between Jan 1994 and Dec 1995, you may use Jan 1994 – Dec 1994 data to calculate portfolio composition and test the performance on data from Jan 1995 – Dec 1995).

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