Comparative analysis of events on the world market using the selected portfolio and the VaR method

Abstract

The topic of the paper focuses on the movement of four stock market indices in the period from 2007 to 2022, with the aim of assessing which crisis had a greater impact on individual indices as well as on the portfolio created through mean variance analysis. Also, the risk itself was measured using the VaR (Value at Risk) method. Each index represents one asset class, and computer calculation using mean-variance analysis suggested certain weights, which were used in further calculations. The main conclusion of this paper is that the crisis in 2020 had a stronger impact on all indices, and led to greater volatility in income than the crisis in 2008. Further, a portfolio created through mean analysis for risk-averse investors confirmed these results, showing the highest volatility in the returns of the entire portfolio in 2020.

Keywords

• var
• financial crisis
• portfolio analysis