Faculty Advisor or Committee Member

Marcel Y. Blais, Advisor

Faculty Advisor or Committee Member

Bogdan M. Vernescu

Identifier

etd-042512-205343

Abstract

In this project, we implement portfolio theory to construct our portfolio, applying the theory to real practice. There are 3 parts in this project, including portfolio optimization, Capital Asset Pricing Model (CAPM) analysis and Factor Model analysis. We implement portfolio theory in the portfolio optimization part. In the second part, we use the CAPM to analyze and improve our portfolio. In the third part we extend our CAPM to factor models to get a deeper analysis of our portfolio.

Publisher

Worcester Polytechnic Institute

Degree Name

MS

Department

Mathematical Sciences

Project Type

Thesis

Date Accepted

2012-04-25

Accessibility

Unrestricted

Subjects

factor model, portfolio optimization

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