Worcester Polytechnic Institute Electronic Theses and Dissertations Collection

Title page for ETD etd-042412-222615

Document Typemasters report
Author NameDang, Zhe
TitleFinancial Mathematics Project
DepartmentMathematical Sciences
  • Marcel Blais, Advisor
  • Keywords
  • CAPM
  • Fama French Model
  • Modern Portfolio Theory
  • Date of Presentation/Defense2012-04-24
    Availability unrestricted


    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.

  • dang.pdf

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