Master thesis project for students at KTH
http://www.nada.kth.se/~jaun/Projects.html
NADA, Royal Institute of Technology, Stockholm, Sweden
Optimization of a Modern Portfolio
With his conjecture that investment risk can be quantified as volatility from the
standard deviation of the expected return, H.Markowitz started in 1952 at the
University of Chicago what has become the
Modern Portfolio
Theory, which awarded him in 1990 the counterpart of the Nobel Prize in Economics.
Different models have been proposed since to calculate the volatility using uniform-,
exponentional and auto-regressive conditional heteroscedastic
weightings of the
historical market prices and produced another Nobel Prize for R.Engle in 2003.
Building on these theories, this project aims at using real-time historical data
to calculate the weight of the investments in a portfolio in such a manner as to
maximize the expected return for a chosen level of the portfolio volatility.
It combines basic financial engineering with numerical analysis, in a practical
implementation using
market data
and a
portfolio manager
that are available from any web browser.
- Financial Modeling: Options, Swaps and Derivatives, A.Jaun, TRITA-NA-2003-0306
- Options Futures and Other Derivative Securities, J.C. Hull, Prentice-Hall International,
New Jersey (2000)
For further information, contact
André JAUN
and consult
http://www.nada.kth.se/~jaun.