Etd
Financial Mathematics Project
PublicDownloadable Content
open in viewerThis 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
- Contributors
- Degree
- Unit
- Publisher
- Language
- English
- Identifier
- etd-042412-222615
- Keyword
- Advisor
- Defense date
- Year
- 2012
- Date created
- 2012-04-24
- Resource type
- Rights statement
- Last modified
- 2021-01-28
Relations
- In Collection:
Permanent link to this page: https://digital.wpi.edu/show/qv33rw75d