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Statistical method for risk management and portfolio theory

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In this project, we focus on risk management, regression analysis and portfolio theory. We applied regression analysis to find a pair of two risky assets from Dow Jones 30 companies with highest return and lowest risk and found the proportion of the two assets to combine them into the tangency portfolio. We applied several reward-to-risk measures including Value-at-Riak, Sharpe ratio and Sortino ratio to evaluate the performance of our portfolios. Finally, we obtained our most desirable portfolio in terms of reward-to-risk criteria for investment. This project was accomplished by combining the applications of multiple linear regression analysis, model diagnostics and portfolio theory. The implementation was achieved by statistical language R and EXCEL.

  • 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.
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  • E-project-121015-165356
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  • 2015
Date created
  • 2015-12-10
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Permanent link to this page: https://digital.wpi.edu/show/9c67wp297