Faculty Advisor

Vermes, Domokos

Abstract

This project implements a MATLAB based evaluation workbench to assess and compare portfolio management strategies. Daily data for 170 stocks carefully selected to cover the market between Dec 24 1998 and March 31, 2008 forms the basis of the evaluation. Quarterly or yearly rebalancing is implemented. Three strategies are compared in the current implementation -- uniform, top quartile and optimized, minimum variance portfolios.

Publisher

Worcester Polytechnic Institute

Date Accepted

April 2008

Major

Management

Major

Mathematical Sciences

Project Type

Major Qualifying Project

Accessibility

Unrestricted

Advisor Department

Mathematical Sciences

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