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Evaluation Bench for Portfolio Optimization

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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.

  • 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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Identifier
  • E-project-042408-144726
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Year
  • 2008
Date created
  • 2008-04-24
Location
  • New Bedford
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Permanent link to this page: https://digital.wpi.edu/show/3197xn61c