V. 20:2 (18-27): Optimizing Portfolios Using Value At Risk by Luis Ballesca-Loyo
Product Description
Most of us own more than one security at
any given time. But how do you decide
which ones to hold and which ones to fold?
In my August 1999 article, I described how to set the size of a long stock position based on your own risk aversion and stock price volatility. But this methodology cannot be extrapolated for those portfolios that contain more than one stock and both long and short positions.
In this article I will show you how to determine the value at risk of such a portfolio. You can then use these results for adjusting portfolio positions to suit your risk aversion and optimize your expected return.
In my August 1999 article, I described how to set the size of a long stock position based on your own risk aversion and stock price volatility. But this methodology cannot be extrapolated for those portfolios that contain more than one stock and both long and short positions.
In this article I will show you how to determine the value at risk of such a portfolio. You can then use these results for adjusting portfolio positions to suit your risk aversion and optimize your expected return.
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