Title page for ETD etd-042412-222615

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

Abstract
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.

Files
dang.pdf

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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
Abstract 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.
Files	dang.pdf