Title page for ETD etd-042312-150048

Document Type	masters report
Author Name	Xu, Chenghao
Email Address	eric8857 at hotmail.com
URN	etd-042312-150048
Title	Portfolio Optimization, CAPM & Factor Modeling Project Report
Degree	MS
Department	Mathematical Sciences
Advisors	Blais, Marcel Y., Advisor Vernescu, Bogdan M., Department Head
Keywords	Modern Portfolio Theory Factor Model CAPM French and Fama Model
Date of Presentation/Defense	2012-04-30
Availability	unrestricted
Abstract In this Portfolio Optimization Project, we used Markowitz¡¯s modern portfolio theory for portfolio optimization. We selected fifteen stocks traded on the New York Stock Exchange and gathered these stocks¡¯ historical data from Yahoo Finance [1]. Then we used Markowitz¡¯s theory to analyze this data in order to obtain the optimal weights of our initial portfolio. To maintain our investment in a current tangency portfolio, we recalculated the optimal weights and rebalanced the positions every week. In the CAPM project, we used the security characteristic line to calculate the stocks¡¯ daily returns. We also computed the risk of each asset, portfolio beta, and portfolio epsilons. In the Factor Modeling project, we computed estimates of each asset¡¯s expected returns and return variances of fifteen stocks for each of our factor models. Also we computed estimates of the covariances among our asset returns. In order to find which model performs best, we compared each portfolio¡¯s actual return with its corresponding estimated portfolio return.
Files	CXu.pdf

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