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  2. Value at risk - Wikipedia

    en.wikipedia.org/wiki/Value_at_risk

    For example, if a portfolio of stocks has a one-day 5% VaR of $1 million, that means that there is a 0.05 probability that the portfolio will fall in value by more than $1 million over a one-day period if there is no trading.

  3. Expected shortfall - Wikipedia

    en.wikipedia.org/wiki/Expected_shortfall

    Expected shortfall is also called conditional value at risk ... and is defined to be the mean loss of portfolio value given ... Example 2. Consider a portfolio that ...

  4. Coherent risk measure - Wikipedia

    en.wikipedia.org/wiki/Coherent_risk_measure

    An immediate consequence is that value at risk might discourage diversification. [1] Value at risk is, however, coherent, under the assumption of elliptically distributed losses (e.g. normally distributed) when the portfolio value is a linear function of the asset prices. However, in this case the value at risk becomes equivalent to a mean ...

  5. Modern portfolio theory - Wikipedia

    en.wikipedia.org/wiki/Modern_portfolio_theory

    [] / [] is the "beta", return mentioned — the covariance between the asset's return and the market's return divided by the variance of the market return — i.e. the sensitivity of the asset price to movement in the market portfolio's value (see also Beta (finance) § Adding an asset to the market portfolio).

  6. Financial risk modeling - Wikipedia

    en.wikipedia.org/wiki/Financial_risk_modeling

    Financial risk modeling is the use of formal mathematical and econometric techniques to measure, monitor and control the market risk, credit risk, and operational risk on a firm's balance sheet, on a bank's accounting ledger of tradeable financial assets, or of a fund manager's portfolio value; see Financial risk management.

  7. 3 Things You Must Do When Your Investment Portfolio Declines ...

    www.aol.com/finance/3-things-must-investment...

    A diversified portfolio is less likely to experience extreme declines, which can help you stay calm during turbulent times. Take a Look: ChatGPT Was Given $20K To Invest In Stocks and Crypto ...

  8. Risk measure - Wikipedia

    en.wikipedia.org/wiki/Risk_measure

    A risk measure is defined as a mapping from a set of random variables to the real numbers. This set of random variables represents portfolio returns. The common notation for a risk measure associated with a random variable X {\displaystyle X} is ρ ( X ) {\displaystyle \rho (X)} .

  9. Tracking error - Wikipedia

    en.wikipedia.org/wiki/Tracking_error

    Under the assumption of normality of returns, an active risk of x per cent would mean that approximately 2/3 of the portfolio's active returns (one standard deviation from the mean) can be expected to fall between +x and -x per cent of the mean excess return and about 95% of the portfolio's active returns (two standard deviations from the mean) can be expected to fall between +2x and -2x per ...