An effective portfolio management with minimized Value-at-Risk

This paper discusses the use of Value-at-Risk (VaR) to analyse efficient frontier of a portfolio. Considering that portfolio returns are normally distributed, VaR linearly depends on expected return and variance. The comparison of minimal VAR and minimal variance portfolios was made. Received results were used to develop and compare two investment strategies. Analyzed portfolio was formed of 10 Vilnius Stock Exchange stocks. The research showed that the strategy of minimizing VaR of the portfolio every day performs better that the strategy of minimizing variance of returns.