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.
Worcester Polytechnic Institute
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Dang, Zhe, "Financial Mathematics Project" (2012). Masters Theses (All Theses, All Years). 262.
CAPM, Fama French Model, Modern Portfolio Theory