Etd

Financial Mathematics Project

Public

Downloadable Content

open in viewer

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
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:

Items

Items

Permanent link to this page: https://digital.wpi.edu/show/qv33rw75d