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.

Creator

• Zhao, Zhen

Contributori

• Blais, Marcel Y.

Degree

• MS

Unit

• Mathematical Sciences

Publisher

• Worcester Polytechnic Institute

Language

• English

Identifier

• etd-042512-205343

Parola chiave

• Portfolio Optimization
• Factor Model

Advisor

• Blais, Marcel Y.

Defense date

• 2012-04-25

Year

• 2012

Date created

• 2012-04-25

Resource type

• Report

Rights statement

• In Copyright

Ultima modifica

• 2021-01-28