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Title: Efficient Portfolio Allocation and Risk Management Techniques
Authors: Hoffenberg, Andrew
Advisors: Rudloff, Birgit
Department: Operations Research and Financial Engineering
Class Year: 2015
Abstract: Instead of focusing on traditional mean-variance optimization, portfolio managers should emphasize risk measures that focus on downside deviations. In this document, I examine three risk measures in particular: the Sharpe ratio, the Sortino ratio, and the Ulcer Performance Index. These three measure the risk-adjusted return of a portfolio, however each uses a different measure of risk. My objective is to examine how each measure performs in different market scenarios: longterm, short-term, and recessionary. Through optimization techniques and sensitivity analysis, I conclude that the Sortino ratio functions as a better measure of risk than the Sharpe ratio and Ulcer Performance Index.
Extent: 67 pages
Type of Material: Princeton University Senior Theses
Language: en_US
Appears in Collections:Operations Research and Financial Engineering, 2000-2017

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