With the ripples in the financial markets and economic stresses that occur around the world today, it would be beneficial to have some insight into the tools that help investors learn about the riskiness of their portfolios. At what value is one's portfolio in danger of being completely wiped out? We aim to further the understanding of values such as these and give an assessment of some risk measures by investing in an interactive portfolio, as well as estimating the values at risk and expected shortfalls of this portfolio.
Worcester Polytechnic Institute
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Shah, Azuri, "Investment Analysis: Evaluating the Loss and Risk of a Stocks and Options Portfolio" (2012). Masters Theses (All Theses, All Years). 652.
Value at Risk, Expected Shortfall, Loss Distribution