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Financial Mathematics Project

This project describes the underlying principles of Modern Portfolio Theory, the Capital Asset Pricing Model (CAPM), and multi-factor models in detail, explores the process of constructing optimal portfolios using the Modern Portfolio Theory, estimates the expected return and covariance matrix of assets using CAPM and multi-factor models, and finally, applies these models in real markets to analyze our portfolios and compare their performances.

Identiferoai:union.ndltd.org:wpi.edu/oai:digitalcommons.wpi.edu:etd-theses-1262
Date24 April 2012
CreatorsLi, Jiang
ContributorsMarcel Y. Blais, Advisor, ,
PublisherDigital WPI
Source SetsWorcester Polytechnic Institute
Detected LanguageEnglish
Typetext
Formatapplication/pdf
SourceMasters Theses (All Theses, All Years)

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