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
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.
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