Worcester Polytechnic Institute Electronic Theses and Dissertations Collection

Title page for ETD etd-042412-222615


Document Typemasters report
Author NameDang, Zhe
URNetd-042412-222615
TitleFinancial Mathematics Project
DegreeMS
DepartmentMathematical Sciences
Advisors
  • Marcel Blais, Advisor
  • Keywords
  • CAPM
  • Fama French Model
  • Modern Portfolio Theory
  • Date of Presentation/Defense2012-04-24
    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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