Worcester Polytechnic Institute Electronic Theses and Dissertations Collection

Title page for ETD etd-050212-141043

Document Typemasters report
Author NameShah, Azuri
TitleInvestment Analysis: Evaluating the Loss and Risk of a Stocks and Options Portfolio
DepartmentMathematical Sciences
  • Marcel Blais, Advisor
  • Keywords
  • Value at Risk
  • Expected Shortfall
  • Loss Distribution
  • Date of Presentation/Defense2012-04-26
    Availability unrestricted


    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.

  • ShahCapstoneProject.pdf

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