This 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

• Gao, Pan

Contributori

• Heinricher, Arthur C.

Degree

• MS

Unit

• Mathematical Sciences

Publisher

• Worcester Polytechnic Institute

Language

• English

Identifier

• etd-0430103-132754

Parola chiave

• Finance
• Portfolio Theory
• Risk Management

Advisor

• Heinricher, Arthur C.

Defense date

• 2003-04-28

Year

• 2003

Date created

• 2003-04-30

Resource type

• Thesis

Rights statement

• In Copyright

Ultima modifica

• 2020-11-24