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我在一个简单的股票投资组合上计算了历史 VaR（为简单起见，假设只有两只股票的每日历史记录为一年）。然后我使用PerformanceAnalytics R 包再次执行此操作。我的两个结果不匹配。

我是否遗漏了有关如何进行基本 VaR 的内容，或者PerformanceAnalytics是否在做一些奇怪的事情？

我的示例代码如下：

library(xts)
# (I'll define "sr" at the end of the question.  It's a big xts structure)
weights = c(0.7929511, 0.2070489)
p = 0.95

# How I do it:
m = data.matrix(as.data.frame(sr))
daily_whatif_scenario = tcrossprod(weights, m)[1,]
my_historic_VaR = as.numeric(-quantile(daily_whatif_scenario, 1 - p)[1])

# How PerformanceAnalytics does it:
their_historic_VaR = PerformanceAnalytics::VaR(R = sr, p = p, 
    method = "historical", portfolio_method  = "component", weights = weights)

我的计算结果是 1.325%，但包裹给了我 1.395%。为什么会有这么大的差异？随着我在示例中添加更多股票和历史记录，这些差异只会变得更大。难道我做错了什么？

这是结果dput(sr)：

sr = structure(c(-0.0162, 0.0049, 0.0029, -1e-04, -0.0079, -0.0101, 
        0.0053, 0.007, -0.0107, 0.001, -0.003, -0.0033, 0.0013, 0.0163, 
        0.0102, 2e-04, -0.0027, 0.0303, -0.0149, 0.0034, 0.0073, 0.0111, 
        -0.0057, 0.0022, 0.0266, 0.0038, 0.0062, -0.0063, 0.0078, 0.0022, 
        0.0091, -0.0074, 0.008, 0.0068, 0.0048, 0.0031, 0.0142, -0.0034, 
        -0.0089, 0.001, 0.001, -0.0141, 0.0042, 0.0026, -0.017, 0.001, 
        -0.006, 0.0048, 0.0064, -0.0063, -0.0122, 0.0122, -0.0126, 0.0239, 
        -0.0236, -9e-04, 0.004, -0.0049, 0.0028, -0.0109, 0.0106, 0.0066, 
        0.0096, 0.0075, 0.0082, -0.008, 0.047, -6e-04, 5e-04, -0.005, 
        -0.0084, -0.0074, 0.0078, -0.0029, 0.0071, 5e-04, 0.0118, 0.0068, 
        -0.0032, 0.0068, -0.0011, -0.0095, 0.0029, -0.0019, -0.0084, 
        0.0065, -0.014, 0.0049, -0.0042, 0.0071, -0.0097, -0.0038, -0.0049, 
        0.0045, 0.001, -7e-04, -0.0056, 0.0098, -0.0112, 0.0093, 5e-04, 
        -6e-04, 0, -0.0013, 0.0026, 0.0199, -8e-04, 0.0023, -0.0038, 
        -0.0035, -0.0045, -0.0323, -0.0021, -0.0054, -0.0102, 0.0222, 
        -0.0139, -0.0027, 6e-04, -5e-04, -0.0069, -8e-04, 0.0074, -0.0071, 
        0.0017, -0.0142, 0.0111, 0.0022, -0.0085, 0.0183, -0.0061, -0.0031, 
        0.0083, 0.0111, -0.0028, -0.0051, -0.0149, 0.0026, -0.0046, -0.0105, 
        -0.003, 0.0019, 0.0055, 0.0471, 0.0042, 9e-04, -0.0226, -0.0175, 
        0.0169, 3e-04, 8e-04, -0.0258, -0.0047, -0.0044, 0.0071, 0.0129, 
        0.0063, 0.0248, 0.0107, 0.0133, -0.0214, 0.0045, 0.0175, -0.0034, 
        0.0048, -1e-04, -0.0118, 0.0082, -0.0024, 0.0019, -0.0139, 0.0037, 
        -0.0018, -0.0166, -0.002, -0.0058, 0.0053, -0.0086, 0.0159, 0.0027, 
        -0.0097, 0.0186, -0.0099, 0.0362, 0.0034, -0.0044, 0.005, -0.0074, 
        0.0031, 0.0151, 0, -0.0036, -0.0054, -0.004, -0.0088, 0, 0.015, 
        -0.0019, 3e-04, 0.0087, -0.0017, 0.0015, 0.0046, -0.0177, 0.0018, 
        0.0021, -0.0142, 4e-04, -0.005, -0.001, -0.0108, -5e-04, 0.0167, 
        0, -7e-04, -0.0079, 0.0397, -6e-04, -0.0132, -0.0013, -0.0022, 
        0.001, -0.0021, 0.0119, -0.0031, 0.0065, 0.001, -0.0014, -0.0054, 
        8e-04, -0.0021, 0.0103, -0.0016, -0.0014, 0.0169, -4e-04, -0.0067, 
        0.0249, 0.0018, 0.0047, -0.0117, -0.0015, 0.0133, 0.0144, -3e-04, 
        -0.0084, -0.0067, 0.0048, -0.0226, 0.001, -0.0079, -1e-04, 0.0062, 
        0.0037, 0, 7e-04, -0.0046, -0.0045, -7e-04, 0.0097, -0.0066, 
        -0.0054, -0.0029, -0.0041, -0.0113, 0.0059, -0.0134, -0.0177, 
        0.0057, -0.0043, -0.0106, -0.0115, -0.0198, 0.0131, 0.0086, -0.008, 
        0.0286, -0.0042, 6e-04, 0.0151, 0.0071, 0.0058, 0.0056, 0.0165, 
        0.0143, 0.0092, 0.0023, 0.0168, 0.0068, -0.0033, -0.0296, -5e-04, 
        0.0191, -0.0106, 0.0062, -0.002, -0.001, 0.0038, 0.0039, 0.001, 
        -0.01, 0.0059, 0.0036, -0.0063, -0.0082, -0.0034, 0.0039, 0.0184, 
        0.0055, -0.0084, 0.0093, -0.0104, 0.0289, -0.01, -0.0098, 0.0108, 
        -0.0068, -0.0056, 0.002, 0.0206, -0.008, 0.0212, 0.0496, 0.0038, 
        -0.008, 0.0122, 0.0029, -0.0014, -9e-04, -0.0077, -0.016, 0.0064, 
        0.0012, 0.0056, 0.0039, 0.0176, -0.0125, -0.0088, 0.0075, 0.0049, 
        -0.0131, -0.004, 0.0052, -0.004, 0.0021, -0.0162, -0.0126, 0.0042, 
        0.0032, -0.0059, 0.0014, -0.0034, 7e-04, 0.0043, -6e-04, -0.0067, 
        0.0067, 0.0045, 0.0096, -3e-04, -0.0082, 0.0038, 0.0053, -0.013, 
        0.0197, -0.0057, 0.0041, -0.0142, 0.0114, -0.0045, -0.0123, -0.0433, 
        -0.0066, -0.0212, 0.0257, -0.0068, 8e-04, -0.0031, -0.0029, -0.0097, 
        -0.0074, 0.0065, -0.013, -0.0036, -0.013, -0.002, 0.0032, -0.0087, 
        0.0054, -0.001, -0.0118, 0.0034, 0.0051, -0.0065, 2e-04, 0.0015, 
        -3e-04, 0.0043, -0.0168, 8e-04, -0.0033, -0.0094, -0.0017, -4e-04, 
        0.0024, -3e-04, -0.0087, 0.0073, 0.0176, 0.0014, -0.0121, -0.005, 
        -0.006, -0.0059, 0.0159, 0.0273, -0.0071, -0.0163, 0.0041, 0.004, 
        -6e-04, 0.0095, 0.0012, 0.0156, 0.003, 0.0153, -0.0203, -0.0024, 
        0.0101, -0.0108, 0.0118, -0.0172, -0.0077, -2e-04, 0, 2e-04, 
        0.0287, -0.0023, 0.0096, 0.0043, -0.0016, -0.0169, 0.0221, 0.0208, 
        -0.0036, -0.0236, 0.014, 0.0047, 0.0023, 0, -0.0013, -0.0033, 
        0.0024, -0.0134, 0, 0.0081, -0.0085, -0.006, -0.0014, -0.0184, 
        -0.0066, 0.0103, -0.0123, -0.0022, 0.0021, 0.0059, -0.0014, -0.0046, 
        0.0124, -0.009, 0.0079, 0.0096, -0.0019, -0.0025, -0.0024, -0.0063, 
        -0.0139, -0.0094, 0.0152, -0.0145, 0.0061, 0.0055, 0.016, -0.0105, 
        0.0061, 0.0053, -0.0058, -0.0272, -0.0345, -0.0021, 0.0322, -0.0092, 
        -0.0022, 0.0154, -0.0243, 0.0072, 0.0078, 0.0152, -7e-04, -0.0081, 
        -0.0042, 0.0038, 0.0157, -0.0064, -0.0063, -3e-04, 0.0094, -0.0162, 
        -0.0045, -0.0122, -0.0062, -0.0081, 0.0112, -1e-04, -0.0059, 
        9e-04, 0.0043, -0.0081), .indexCLASS = "Date", tclass = c("POSIXct", 
                                                                  "POSIXt"), .indexTZ = "", tzone = "", class = c("xts", "zoo"), index = structure(c(1459728000, 
                                                                                                                                                     1459814400, 1459900800, 1459987200, 1460073600, 1460332800, 1460419200, 
                                                                                                                                                     1460505600, 1460592000, 1460678400, 1460937600, 1461024000, 1461110400, 
                                                                                                                                                     1461196800, 1461283200, 1461542400, 1461628800, 1461715200, 1461801600, 
                                                                                                                                                     1461888000, 1462147200, 1462233600, 1462320000, 1462406400, 1462492800, 
                                                                                                                                                     1462752000, 1462838400, 1462924800, 1463011200, 1463097600, 1463356800, 
                                                                                                                                                     1463443200, 1463529600, 1463616000, 1463702400, 1463961600, 1464048000, 
                                                                                                                                                     1464134400, 1464220800, 1464307200, 1464566400, 1464652800, 1464739200, 
                                                                                                                                                     1464825600, 1464912000, 1465171200, 1465257600, 1465344000, 1465430400, 
                                                                                                                                                     1465516800, 1465776000, 1465862400, 1465948800, 1466035200, 1466121600, 
                                                                                                                                                     1466380800, 1466467200, 1466553600, 1466640000, 1466726400, 1466985600, 
                                                                                                                                                     1467072000, 1467158400, 1467244800, 1467331200, 1467590400, 1467676800, 
                                                                                                                                                     1467763200, 1467849600, 1467936000, 1468195200, 1468281600, 1468368000, 
                                                                                                                                                     1468454400, 1468540800, 1468800000, 1468886400, 1468972800, 1469059200, 
                                                                                                                                                     1469145600, 1469404800, 1469491200, 1469577600, 1469664000, 1469750400, 
                                                                                                                                                     1470009600, 1470096000, 1470182400, 1470268800, 1470355200, 1470614400, 
                                                                                                                                                     1470700800, 1470787200, 1470873600, 1470960000, 1471219200, 1471305600, 
                                                                                                                                                     1471392000, 1471478400, 1471564800, 1471824000, 1471910400, 1471996800, 
                                                                                                                                                     1472083200, 1472169600, 1472428800, 1472515200, 1472601600, 1472688000, 
                                                                                                                                                     1472774400, 1473033600, 1473120000, 1473206400, 1473292800, 1473379200, 
                                                                                                                                                     1473638400, 1473724800, 1473811200, 1473897600, 1473984000, 1474243200, 
                                                                                                                                                     1474329600, 1474416000, 1474502400, 1474588800, 1474848000, 1474934400, 
                                                                                                                                                     1475020800, 1475107200, 1475193600, 1475452800, 1475539200, 1475625600, 
                                                                                                                                                     1475712000, 1475798400, 1476057600, 1476144000, 1476230400, 1476316800, 
                                                                                                                                                     1476403200, 1476662400, 1476748800, 1476835200, 1476921600, 1477008000, 
                                                                                                                                                     1477267200, 1477353600, 1477440000, 1477526400, 1477612800, 1477872000, 
                                                                                                                                                     1477958400, 1478044800, 1478131200, 1478217600, 1478476800, 1478563200, 
                                                                                                                                                     1478649600, 1478736000, 1478822400, 1479081600, 1479168000, 1479254400, 
                                                                                                                                                     1479340800, 1479427200, 1479686400, 1479772800, 1479859200, 1479945600, 
                                                                                                                                                     1480032000, 1480291200, 1480377600, 1480464000, 1480550400, 1480636800, 
                                                                                                                                                     1480896000, 1480982400, 1481068800, 1481155200, 1481241600, 1481500800, 
                                                                                                                                                     1481587200, 1481673600, 1481760000, 1481846400, 1482105600, 1482192000, 
                                                                                                                                                     1482278400, 1482364800, 1482451200, 1482710400, 1482796800, 1482883200, 
                                                                                                                                                     1482969600, 1483056000, 1483315200, 1483401600, 1483488000, 1483574400, 
                                                                                                                                                     1483660800, 1483920000, 1484006400, 1484092800, 1484179200, 1484265600, 
                                                                                                                                                     1484524800, 1484611200, 1484697600, 1484784000, 1484870400, 1485129600, 
                                                                                                                                                     1485216000, 1485302400, 1485388800, 1485475200, 1485734400, 1485820800, 
                                                                                                                                                     1485907200, 1485993600, 1486080000, 1486339200, 1486425600, 1486512000, 
                                                                                                                                                     1486598400, 1486684800, 1486944000, 1487030400, 1487116800, 1487203200, 
                                                                                                                                                     1487289600, 1487548800, 1487635200, 1487721600, 1487808000, 1487894400, 
                                                                                                                                                     1488153600, 1488240000, 1488326400, 1488412800, 1488499200, 1488758400, 
                                                                                                                                                     1488844800, 1488931200, 1489017600, 1489104000, 1489363200, 1489449600, 
                                                                                                                                                     1489536000, 1489622400, 1489708800, 1489968000, 1490054400, 1490140800, 
                                                                                                                                                     1490227200, 1490313600, 1490572800, 1490659200, 1490745600, 1490832000
                                                                  ), tclass = "Date"), .Dim = c(259L, 2L), .Dimnames = list(NULL, 
                                                                                                                            c("DHR.US", "GIS.US")))
4

1 回答 1

1

因此，我挖掘了使用您指定的参数调用 VaR 时运行的代码。请看下文。

当您阅读我的回答时，请注意这个领域超出了我的技能范围，数学有点超出我的想象，但是您的代码与他们的代码之间的主要区别似乎是它们对数据进行排序并选择转置的叉积由阿尔法确定。在哪里使用分位数。出于某种原因，这意味着您选择了相邻的数字 - 它似乎基本上是一个舍入错误。请查看以下您的 daily_whatif_scenario 的 excel 屏幕截图来说明这一点：

截屏

风险价值代码：

VaR.historical.portfolio = function(R,p,w)
{
  alpha = .setalphaprob(p)
  portret = c();
  T = dim(R)[1]
  N = dim(R)[2]
  for( t in c(1:T) ){
    portret = c(portret,sum(w*as.numeric(R[t,])))
  }
  hVaR = -1* sort(portret)[floor(alpha*T)]
  return(hVaR)
}

在哪里：

.setalphaprob = function (p)
{
    if ( p >= 0.51 ) {
        # looks like p was a percent like .99
        alpha <- 1-p
    } else {
        alpha = p
    }

    return (alpha)
}
于 2017-04-05T05:42:23.833 回答