Etd
Financial Mathematics Project
公开可下载的内容
open in viewerThis project describes the underlying principles of Modern Portfolio Theory (MPT), the Capital Asset Pricing Model (CAPM), and multi-factor models in detail. It also explores the process of constructing optimal portfolios using Modern Portfolio Theory, as well as estimates the expected return and covariance matrix of assets using the CAPM and multi-factor models. Finally, the project applies these models in real markets to analyze our portfolios and compare their performances.
- Creator
- 贡献者
- Degree
- Unit
- Publisher
- Language
- English
- Identifier
- etd-042412-222615
- 关键词
- Advisor
- Defense date
- Year
- 2012
- Date created
- 2012-04-24
- Resource type
- Rights statement
- 最新修改
- 2021-01-28
关系
- 属于 Collection:
Permanent link to this page: https://digital.wpi.edu/show/qv33rw75d