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.

Creator

• Li, Jiang

贡献者

• Blais, Marcel Y.

Degree

• MS

Unit

• Mathematical Sciences

Publisher

• Worcester Polytechnic Institute

Language

• English

Identifier

• etd-042412-230508

关键词

• Capital Asset Pricing Model
• Modern Portfolio Theory
• multi-factor models

Advisor

• Blais, Marcel Y.

Defense date

• 2012-04-24

Year

• 2012

Date created

• 2012-04-24

Resource type

• Report

Rights statement

• In Copyright

最新修改

• 2021-01-28