Student Work
Portfolio Risk Minimization Using Historical Data
PublicData from 1999 was gathered for 90 stocks in the S&P 500. The first 6 months of data was used to create a portfolio with the minimum risk while given an expected rate of return. Constraints were then added to limit short selling and limit the number of shares of certain stocks. The resulting portfolios were then tested to see if their future performance for the next 6 months would have produced a profit.
- This report represents the work of one or more WPI undergraduate students submitted to the faculty as evidence of completion of a degree requirement. WPI routinely publishes these reports on its website without editorial or peer review.
- Creator
- Publisher
- Identifier
- E-project-042408-034936
- Advisor
- Year
- 2008
- Date created
- 2008-04-24
- Resource type
- Major
- Rights statement
Relations
- In Collection:
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