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
Description
138

Details

Advisor(s)
Vanderbei, Robert [Browse]
Department
Princeton University. Department of Operations Research and Financial Engineering [Browse]
Class year
2014
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.

Supplementary Information