Faculty Advisor

Blais, Marcel Y.

Abstract

Data from 1999 was gathered for 90 stocks in the S&P 500. The first 6 months of data was used to create a portfolio with the minimum risk while given an expected rate of return. Constraints were then added to limit short selling and limit the number of shares of certain stocks. The resulting portfolios were then tested to see if their future performance for the next 6 months would have produced a profit.

Publisher

Worcester Polytechnic Institute

Date Accepted

April 2008

Major

Mathematical Sciences

Project Type

Major Qualifying Project

Accessibility

Unrestricted

Advisor Department

Mathematical Sciences

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