The VaR of a portfolio of assets is simply the weighted average of each individual assets' VaR.

Question

Quizplus · Accepted Answer

The VaR of a portfolio of assets cannot be simply calculated as the weighted average of each individual assets' VaR. This is because the correlation between the assets also needs to be taken into account. The VaR of a portfolio can be calculated using more complex methods such as historical simulation or Monte Carlo simulation.

The VaR of a Portfolio of Assets Is Simply the Weighted