Overview

Portfolio analytics uses the concepts and tools of time series analysis applied to asset prices and portfolios. A primary goal of portfolio analysis is to forecast the returns of a portfolio as well as its risk, so as to minimize a measure of risk adjusted returns.

Measures of Risk

• Drawdown and Maximum Drawdown
• Portfolio Return Variance : using the standard measure of the variance or standard deviation of a random variable as the measure of risk.
• Value at Risk : is a measure of risk that measures the dollar amount of loss that is possible at a certain statistical threshold. It is equivalent to the variance in some cases. It is also more useful for certain types of portfolios, particularly leveraged portfolios.
• Stress Testing :
• Risk and Utility : utility theory provides a general framework for understanding risk within rational choice theory.

Topics

• Risk Management
• The Axioms of Risk provide a mathematical formalization of what makes a good risk measure. While many risk measures satisfy the axioms, some commonly used measures do not.