Title page for E-project-042408-144726

Project Type MQP

Submission date 2008-04-24

Author
Emilia Daniela Holban, ema_h@WPI.EDU, MA

URN E-project-042408-144726

Title Evaluation Bench for Portfolio Optimization

Advisor
Vermes, Domokos, MA

Availability restricted

Abstract
This project implements a MATLAB based evaluation workbench to assess and compare portfolio management strategies. Daily data for 170 stocks carefully selected to cover the market between Dec 24 1998 and March 31, 2008 forms the basis of the evaluation. Quarterly or yearly rebalancing is implemented. Three strategies are compared in the current implementation -- uniform, top quartile and optimized, minimum variance portfolios.

Files
MQP2008.pdf
indicates that a file or directory is accessible from the WPI campus network only.

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Project Type	MQP
Submission date	2008-04-24
Author	Emilia Daniela Holban, ema_h@WPI.EDU, MA
URN	E-project-042408-144726
Title	Evaluation Bench for Portfolio Optimization
Advisor	Vermes, Domokos, MA
Availability	restricted
Abstract This project implements a MATLAB based evaluation workbench to assess and compare portfolio management strategies. Daily data for 170 stocks carefully selected to cover the market between Dec 24 1998 and March 31, 2008 forms the basis of the evaluation. Quarterly or yearly rebalancing is implemented. Three strategies are compared in the current implementation -- uniform, top quartile and optimized, minimum variance portfolios.
Files	MQP2008.pdf indicates that a file or directory is accessible from the WPI campus network only.