Princeton University Library Catalog

Measuring Portfolio Risk: Using the Markowitz Model, Conditional Value at Risk, and Risk Parity for Asset Allocation in Medium-Duration Investments

Author/​Artist:
Fierstein, Lisa [Browse]
Format:
Senior thesis
Language:
English
Advisor(s):
Vanderbei, Robert [Browse]
Department:
Princeton University. Department of Operations Research and Financial Engineering [Browse]
Class year:
2014
Description:
138
Summary note:
The Financial Crisis of 2008 increased investors' interest in managing risk. The Markowitz Model, Conditional Value at Risk, and Risk Parity all offer a different approach to measuring risk in an investor's portfolio. By comparing these three models on a five year, long only investment horizon, it is possible for a first-time investor to have a better understanding of what portfolio allocation works best according to his risk preferences.