Blais, Marcel Y.
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.
Worcester Polytechnic Institute
Major Qualifying Project
All authors have granted to WPI a nonexclusive royalty-free license to distribute copies of the work, subject to other agreements. Copyright is held by the author or authors, with all rights reserved, unless otherwise noted.