Welcome to my GitHub repository dedicated to the Constant Correlation Model (CCM) for optimal portfolio formation and Expected Shortfall (ES) risk measurement. In this project, I delved into the world of portfolio optimization and risk assessment. This repository showcases my proficiency in utilizing CCM as a tool for correlation-based portfolio optimization. I also implemented the ES method to gauge potential losses beyond Value at Risk (VaR). The repository is accompanied by a detailed R script, providing insights into my analytical process. As a data enthusiast, I am committed to advancing my skills and knowledge in portfolio management and risk assessment. I invite you to explore this GitHub repository and encourage discussions or collaborations in the field of data analysis and financial modeling. Your feedback and inquiries are always appreciated.
-
Notifications
You must be signed in to change notification settings - Fork 1
The purpose of investments is to obtain a profit. One type of investments that can be done is stock investment. Investors can diversify the stocks to reduce the risk of an investment. Stock diversification is done by combining several stocks and then forming a portfolio.
febrinadevitas/Constant-Correlation-Model-for-Optimal-Portfolio-Formation-and-Expected-Shortfall-Risk-Measurement
This commit does not belong to any branch on this repository, and may belong to a fork outside of the repository.
Folders and files
| Name | Name | Last commit message | Last commit date | |
|---|---|---|---|---|
Repository files navigation
About
The purpose of investments is to obtain a profit. One type of investments that can be done is stock investment. Investors can diversify the stocks to reduce the risk of an investment. Stock diversification is done by combining several stocks and then forming a portfolio.
Topics
Resources
Stars
Watchers
Forks
Releases
No releases published
Packages 0
No packages published