Document Type masters report Author Name Zhao, Zhen URN etd-042512-205343 Title Portfolio Optimization, CAPM & Factor Modeling Project Degree MS Department Mathematical Sciences Advisors Marcel Y. Blais, Advisor Bogdan M. Vernescu, Department Head Keywords factor model portfolio optimization Date of Presentation/Defense 2012-04-25 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.
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