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Author NameZhou, Jie
TitlePortfolio Optimization, CAPM & Factor Modeling Project
DepartmentMathematical Sciences
  • Blais Marcel, Advisor
  • Keywords
  • CAPM & Factor Modeling
  • Portfolio Optimization
  • Date of Presentation/Defense2012-04-26
    Availability unrestricted


    In this project, we implement portfolio theory to construct our portfolio, applying the theory to real practice. There are 3 parts in this project, including portfolio optimization, Capital Asset Pricing Model (CAPM) analysis and Factor Model analysis. We implement portfolio theory in the portfolio optimization part. In the second part, we use the CAPM to analyze and improve our portfolio. In the third part we extend our CAPM to factor models to get a deeper analysis of our portfolio.

  • jie_zhou.pdf

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