Project Type MQP Submission date 2008-04-24 Author Emilia Daniela Holban, MA URN E-project-042408-144726 Title Evaluation Bench for Portfolio Optimization Advisor Vermes, Domokos, MA Availability unrestricted 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
Browse by Author | Browse by Department | Search all available E-projects
![[WPI]](/Buttons/seal.gif){kind=small}
![[Library]](/Academics/Library/Buttons/lib.gif){kind=small}
![[Home]](/Buttons/home.gif){kind=small}
![[Top]](/Buttons/top.gif){kind=small}