Title page for ETD etd-042412-230508

Document Type masters report

Author Name Li, Jiang

URN etd-042412-230508

Title Financial Mathematics Project

Degree MS

Department Mathematical Sciences

Advisors
Marcel Blais, Advisor

Keywords
Capital Asset Pricing Model
Modern Portfolio Theory
multi-factor models

Date of Presentation/Defense 2012-04-24

Availability unrestricted

Abstract
This project describes the underlying principles of Modern Portfolio Theory, the Capital Asset Pricing Model (CAPM), and multi-factor models in detail, explores the process of constructing optimal portfolios using the Modern Portfolio Theory, estimates the expected return and covariance matrix of assets using CAPM and multi-factor models, and finally, applies these models in real markets to analyze our portfolios and compare their performances.

Files
li.pdf

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Document Type	masters report
Author Name	Li, Jiang
URN	etd-042412-230508
Title	Financial Mathematics Project
Degree	MS
Department	Mathematical Sciences
Advisors	Marcel Blais, Advisor
Keywords	Capital Asset Pricing Model Modern Portfolio Theory multi-factor models
Date of Presentation/Defense	2012-04-24
Availability	unrestricted
Abstract This project describes the underlying principles of Modern Portfolio Theory, the Capital Asset Pricing Model (CAPM), and multi-factor models in detail, explores the process of constructing optimal portfolios using the Modern Portfolio Theory, estimates the expected return and covariance matrix of assets using CAPM and multi-factor models, and finally, applies these models in real markets to analyze our portfolios and compare their performances.
Files	li.pdf