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Title page for ETD etd-050212-141043


Document Typemasters report
Author NameShah, Azuri
Email Address shahazurie at wpi.edu
URNetd-050212-141043
TitleInvestment Analysis: Evaluating the Loss and Risk of a Stocks and Options Portfolio
DegreeMS
DepartmentMathematical Sciences
Advisors
  • Marcel Blais, Advisor
  • Keywords
  • Value at Risk
  • Expected Shortfall
  • Loss Distribution
  • Date of Presentation/Defense2012-04-26
    Availability unrestricted

    Abstract

    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.

    Files
  • ShahCapstoneProject.pdf

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