Investment Portfolio Performance Analysis Based on CVaR Risk Measure

Student: Morozova Sofiia

Faculty: HSE Tikhonov Moscow Institute of Electronics and Mathematics (MIEM HSE)

Educational Programme: Applied Mathematics (Bachelor)

Year of Graduation: 2020

The object of research in the final qualifying work is the optimal investment portfolio based on Conditional Value at Risk (CVaR) measure. We analyze the properties of this risk measure, develop an algorithm for building an optimal investment portfolio, and calculate the optimal portfolio consisting of stocks of 10 Russian companies as an application. The analysis of the influence of time intervals on the optimality of the investment portfolio is realized.

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