Portfolio Risk Assessment Models

This article discusses various models for assessing portfolio risks. The article is relevant because it examines the growing popularity of investments in the stock market and the importance of understanding and assessing the risks associated with financial investments. The purpose of the study is to evaluate the effectiveness of various risk assessment models and their combined results using quantitative and analytical methods. The research focuses on evaluating the effectiveness of various risk assessment models for investment portfolios, including the Markowitz model, the CAPM model, the Value-at-Risk model and the Expected Shortfall model. The article also demonstrates the advantages and disadvantages of each of these models. The market risk of investment portfolios is assessed using various risk assessment approaches. The data analysis was carried out on eight different investment portfolios consisting of American assets for the period from 2000 to 2024. The research contributes to a clearer understanding of investment risks and can help in creating investment portfolios with a balanced risk-return ratio.