Investment Portfolio Risk Analysis And Measurement

Portfolio is one of the focal topics in investment economy society now. Because of the characteristic of choice correlation in risk and return, investor are constantly seeking strategies, Which can balance the risk and the return. While portfolio risk analyzing and measuring is the necessary condition to make portfolio decision. With the development of the assets diversification, the variety of the assert in portfolio developed from financial asset to project investment. The analysis and measurement of the investment project portfolio risk is the key problem to be solved.On the basis of reading and studying, according to the definition of portfolio and the development and application of the theory, the paper discuss the producing background, supposing terms, model frame and application scope of each model. Then we know the theory frame and the theory condition clearly. This paper discussed the background and the valuation of the project portfolio, defined the investing project portfolio and stock portfolio, then it established the basis of the investing project portfolio analyzing. On the basis of analyzing the project portfolio risk, the measurement problem of the project portfolio risk is proposed. The common measuring method, such as semi-variance, entropy and Value-at-risk are discussed. Their merit and shortcoming are contrasted. According to the characteristic of the project portfolio, the portfolio risk method which is based on the probability—loss is designed. The instance is also proposed. Then VaR-based Optimization project portfolio system is established. This standardizes the risk analysis and measurement process. At last, the paper made the qualitative analysis which is based on the investment object lifecycle—risk. Using real option method, the analyzing frame of the project portfolio is set up. According to the risk dynamic character of the investment subject and object, the investment project portfolio strategy is proposed.