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Portfolio Optimization, CAPM & Factor Modeling Project

In this project, we implement portfolio theory to construct our portfolio, applying the theory to real practice. There are 3 parts in this project, including portfolio optimization, Capital Asset Pricing Model (CAPM) analysis and Factor Model analysis. We implement portfolio theory in the portfolio optimization part. In the second part, we use the CAPM to analyze and improve our portfolio. In the third part we extend our CAPM to factor models to get a deeper analysis of our portfolio.
Date25 April 2012
CreatorsZhou, Jie
ContributorsMarcel Y. Blais, Advisor, ,
PublisherDigital WPI
Source SetsWorcester Polytechnic Institute
Detected LanguageEnglish
SourceMasters Theses (All Theses, All Years)

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