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Financial Mathematics Project

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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.

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Degree
Unit
Publisher
Language
  • English
Identifier
  • etd-042412-230508
Mot-clé
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Defense date
Year
  • 2012
Date created
  • 2012-04-24
Resource type
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Dernière modification
  • 2021-01-28

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Permanent link to this page: https://digital.wpi.edu/show/h702q650b