Document Type masters report Author Name Dang, Zhe URN etd-042412-222615 Title Financial Mathematics Project Degree MS Department Mathematical Sciences Advisors Marcel Blais, Advisor Keywords CAPM Fama French Model Modern Portfolio Theory Date of Presentation/Defense 2012-04-24 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.
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