This project describes the underlying principles of Modern Portfolio Theory (MPT), the Capital Asset Pricing Model (CAPM), and multi-factor models in detail. It also explores the process of constructing optimal portfolios using Modern Portfolio Theory, as well as estimates the expected return and covariance matrix of assets using the CAPM and multi-factor models. Finally, the project applies these models in real markets to analyze our portfolios and compare their performances.
| Identifer | oai:union.ndltd.org:wpi.edu/oai:digitalcommons.wpi.edu:etd-theses-1261 |
| Date | 24 April 2012 |
| Creators | Dang, Zhe |
| Contributors | Marcel Y. Blais, Advisor, , |
| Publisher | Digital WPI |
| Source Sets | Worcester Polytechnic Institute |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | Masters Theses (All Theses, All Years) |
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