Worcester Polytechnic Institute Electronic Theses and Dissertations Collection

Title page for ETD etd-042412-230508

Document Typemasters report
Author NameLi, Jiang
TitleFinancial Mathematics Project
DepartmentMathematical Sciences
  • Marcel Blais, Advisor
  • Keywords
  • Capital Asset Pricing Model
  • Modern Portfolio Theory
  • multi-factor models
  • Date of Presentation/Defense2012-04-24
    Availability unrestricted


    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.

  • li.pdf

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