This project describes the underlying principles of Modern Portfolio Theory (MPT), the Capital Asset Pricing Model (CAPM), and multi-factor models in detail. It also explores the process of constructing optimal portfolios using Modern Portfolio Theory, as well as estimates the expected return and covariance matrix of assets using the CAPM and multi-factor models. Finally, the project applies these models in real markets to analyze our portfolios and compare their performances.

Creator

• Dang, Zhe

Colaboradores

• Blais, Marcel Y.

Degree

• MS

Unit

• Mathematical Sciences

Publisher

• Worcester Polytechnic Institute

Language

• English

Identifier

• etd-042412-222615

Palabra Clave

• Modern Portfolio Theory
• Fama French Model
• CAPM

Advisor

• Blais, Marcel Y.

Defense date

• 2012-04-24

Year

• 2012

Date created

• 2012-04-24

Resource type

• Report

Rights statement

• In Copyright

Última modificación

• 2021-01-28