Transcription of Portfolio Optimisation Using Value at Risk
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Portfolio Optimisation Using Value at Risk
Portfolio Optimisation Using Value at Risk Project Report by Vinay Kaura A project report submitted as partial fulfilment of the requirements for the degree of Computing (Computational Management) MEng Imperial College London Project Supervisor: Prof. Ber Rustem Second Marker: Panayiotis Parpas Project Website: ~vk02/project - i - Abstract optimal portfolios are normally computed Using the Portfolio risk measured in terms of its variance. However, performance risk is a problem if the Portfolio does not perform well. This project involves Using linear programming techniques to define and handle the Value -At-Risk risk metric. By evaluating historical prices to create future scenarios one can determine the Value -At-Risk of a specified Portfolio . Using linear programming software to develop a returns model for the FTSE 100 one can, hence, calculate which stocks should be bought or sold in order to minimise the Value -At-Risk of a Portfolio with an underlying required returns constraint.
- i - Abstract Optimal portfolios are normally computed using the portfolio risk measured in terms of its variance. However, performance risk is a problem if the portfolio does not perform well.
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