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Title: Measuring Portfolio Risk: Using the Markowitz Model, Conditional Value at Risk, and Risk Parity for Asset Allocation in Medium-Duration Investments
Authors: Fierstein, Lisa
Advisors: Vanderbei, Robert
Department: Operations Research and Financial Engineering
Class Year: 2014
Abstract: 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.
Extent: 138
Type of Material: Princeton University Senior Theses
Language: en_US
Appears in Collections:Operations Research and Financial Engineering, 2000-2020

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