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Financial Mathematics Project

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This 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

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Permanent link to this page: https://digital.wpi.edu/show/qv33rw75d