Document Type masters report Author Name Shah, Azuri Email Address shahazurie at wpi.edu URN etd-050212-141043 Title Investment Analysis: Evaluating the Loss and Risk of a Stocks and Options Portfolio Degree MS Department Mathematical Sciences Advisors Marcel Blais, Advisor Keywords Value at Risk Expected Shortfall Loss Distribution Date of Presentation/Defense 2012-04-26 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.
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