Valor en riesgo de las carteras de inversión con activos del Ibex 35

Abstract

Abstract: In the world of investments there is concern in knowing what is the risk to which it is exposed when investing in the stock market. This research focuses on the calculation of the value at risk (VaR) of a sample of 20 companies taken from the IBEX35 stock index in Spain, randomly distributed in 3 investment portfolios of 10, 15 and 20 assets whose objective is to determine the scenario optimal for an investor at the time of investing, allowing to know what the maximum loss is, through the methods that use historical series or with a normal distribution such as variance - covariance. The results obtained show a relationship between the methods used, there being less loss with the historical method within a portfolio made up of 15 assets based on risk minimization.