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Models

Value At Risk in Finance and Investing Model

This model illustrates variance at risk (VAR) in the context of a put on a stock. It follows two portfolios: one where the investor purchases shares of the stock and no puts, and one where the investor purchases shares of the stock and a put on the stock. Simulation shows that clearly how put acts as a hedge on the stock. The VAR with the put is about a 19.8% loss, compared to a 33.9% loss without the put.

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