This project describes the underlying principles of Modern Portfolio Theory, the Capital Asset Pricing Model (CAPM), and multi-factor models in detail, explores the process of constructing optimal portfolios using the Modern Portfolio Theory, estimates the expected return and covariance matrix of assets using CAPM and multi-factor models, and finally, applies these models in real markets to analyze our portfolios and compare their performances.
Worcester Polytechnic Institute
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Li, Jiang, "Financial Mathematics Project" (2012). Masters Theses (All Theses, All Years). 263.
Capital Asset Pricing Model, Modern Portfolio Theory, multi-factor models