How can I calculate the Value at Risk with 95% confidence for a Portfolio of 3 assets, simulating 360 daily returns. The assets have equal weights, asset 1 (mean = 0.001, stan dev = 0.02), asset 2 (mean = 0.002, stand dev = 0.03) and active 3 (mean = 0.0015, stan dev = 0.025). I already have the VAR of each asset, but how do I integrate the 3 in a single portfolio?
How can I calculate the Value at Risk of a portfolio 3 assets in Python? Do I have to use arrays?
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You can't sum the var of each asset. To calculate de VaR of a portfolio do you need to take in consideration the covariance of those assets.
I think this link will help you: https://financetrain.com/value-at-risk-of-a-portfolio
If you have another question, fill free to ask.