Etd
Portfolio Construction and Risk Management: Practical Issues and Examples
PúblicoContenido Descargable
open in viewerThis thesis describes some of the practical issues faced by a portfolio manager in analyzing the risk associated with a portfolio of assets. The main tools used are the mean-variance optimization algorithm introduced by Markowitz and multi-factor models for risk decomposition. A sample portfolio designed to track the Russell 1000G stock index is constructed that minimizes tracking error while satisfying constraints on the exposure of the portfolio to particular factors (growth and market capitalization).
- Creator
- Colaboradores
- Degree
- Unit
- Publisher
- Language
- English
- Identifier
- etd-0430103-132754
- Palabra Clave
- Advisor
- Defense date
- Year
- 2003
- Date created
- 2003-04-30
- Resource type
- Rights statement
- Última modificación
- 2020-11-24
Las relaciones
- En Collection:
Elementos
Permanent link to this page: https://digital.wpi.edu/show/5q47rn83g