Abstract:
This article discusses the evaluation of value at risk (VaR) for stock portofolio with variance-covariance method. VaR is the estimation of maximum loss which can occur with -level of confidence over a holding period of time. VaR portofolio with variance-covariance method views the portofolio risk from standard deviation of portofolio, which is in standard deviation of portofolio containing variance-covariance matrix from return asset and weighted asset. Assumption of VaR with this method is that the return asset has to have a normal distribution in order the portofolio has the expected return asset not being far different from the established portofolio.
