Title page for E-project-042408-034936

Project Type MQP

Submission date 2008-04-24

Author
Brian K Duncan, MA

URN E-project-042408-034936

Title Portfolio Risk Minimization Using Historical Data

Advisor
Blais, Marcel Y., MA

Availability unrestricted

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.

Files
final.pdf

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Project Type	MQP
Submission date	2008-04-24
Author	Brian K Duncan, MA
URN	E-project-042408-034936
Title	Portfolio Risk Minimization Using Historical Data
Advisor	Blais, Marcel Y., MA
Availability	unrestricted
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.
Files	final.pdf