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.
Worcester Polytechnic Institute
Major Qualifying Project
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