Title
Faculty Advisor or Committee Member
Blais, Marcel Y., Advisor
Identifier
etd-050212-104256
Abstract
In order to evaluate and manage portfolio risk, we separated this project into three sections. In the first section we constructed a portfolio with 15 different stocks and six options with different strategies. The portfolio was implemented in Interactive Brokers and rebalanced weekly through five holding periods. In the second section we modeled the loss distribution of the whole portfolio with normal and student-t distributions, we computed the Value-at-Risk and expected shortfall in detail for the portfolio loss in each holding week, and then we evaluated differences between the normal and student-t distributions. In the third section we applied the ARMA(1,1)-GARCH(1,1) model to simulate our assets and compared the polynomial tails with Gaussian and t-distribution innovations.
Publisher
Worcester Polytechnic Institute
Degree Name
MS
Department
Mathematical Sciences
Project Type
Thesis
Date Accepted
2012-05-02
Copyright Statement
All authors have granted to WPI a nonexclusive royalty-free license to distribute copies of the work. Copyright is held by the author or authors, with all rights reserved, unless otherwise noted. If you have any questions, please contact wpi-etd@wpi.edu.
Accessibility
Unrestricted
Repository Citation
Yan, Lu, "Risk Management Project" (2012). Masters Theses (All Theses, All Years). 648.
https://digitalcommons.wpi.edu/etd-theses/648
Subjects
Risk Management, Value-at-risk, Expected Shortfall, ARMA-GARCH, Chi-square test, AIC, BIC, Portfolio Optimization