Advanced portfolio management using markowitz portfolio theory
This thesis is submitted in partial fulfillment of the requirements for the degree of Bachelor of Science in Computer Science, 2019.
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Brac University
2020
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| Online Access: | http://hdl.handle.net/10361/13987 |
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10361-13987 |
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10361-139872022-01-26T10:13:12Z Advanced portfolio management using markowitz portfolio theory Kundu, Souvik Khan, Mustaqim Rahman, Faisal Majumdar, Mahbubul Alam Department of Computer Science and Engineering, Brac University Portfolio management S&P 500 Markowitz model Sharpe ratio Efficient frontier Volatility Expected return This thesis is submitted in partial fulfillment of the requirements for the degree of Bachelor of Science in Computer Science, 2019. Cataloged from PDF version of thesis. Includes bibliographical references (pages 30). A portfolio is a collection of stocks made from different companies, the number of stocks can range from 10 to 30 depending on expected return by the investors. Portfolio management is finding the right group of stocks to invest in with detailed risk and return assessment. Finding the right combination is easier said than done, we opted to work with S&P 500 data set. We filter the data set picking the top 10 stocks from each sector based on different criteria, using Markowitz portfolio theory, we generate random portfolios and compare between them on the basis of Voaltility and Sharpe ratio, a ratio generated from return and risk. When plotting all the portfolios a curve is generated called the efficient frontier from which we can select an optimum portfolio based on volatility and return. We then compare our generated portfolio which is dynamic based on the requirements by looking at the most recent stock market data and determine the accuracy for future prediction. Souvik Kundu Mustaqim Khan Faisal Rahman B. Computer Science 2020-08-19T15:35:33Z 2020-08-19T15:35:33Z 2019 2019-12 Thesis ID 19141015 ID 19141013 ID 19141014 http://hdl.handle.net/10361/13987 en Brac University theses are protected by copyright. They may be viewed from this source for any purpose, but reproduction or distribution in any format is prohibited without written permission. 30 pages application/pdf Brac University |
| institution |
Brac University |
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Institutional Repository |
| language |
English |
| topic |
Portfolio management S&P 500 Markowitz model Sharpe ratio Efficient frontier Volatility Expected return |
| spellingShingle |
Portfolio management S&P 500 Markowitz model Sharpe ratio Efficient frontier Volatility Expected return Kundu, Souvik Khan, Mustaqim Rahman, Faisal Advanced portfolio management using markowitz portfolio theory |
| description |
This thesis is submitted in partial fulfillment of the requirements for the degree of Bachelor of Science in Computer Science, 2019. |
| author2 |
Majumdar, Mahbubul Alam |
| author_facet |
Majumdar, Mahbubul Alam Kundu, Souvik Khan, Mustaqim Rahman, Faisal |
| format |
Thesis |
| author |
Kundu, Souvik Khan, Mustaqim Rahman, Faisal |
| author_sort |
Kundu, Souvik |
| title |
Advanced portfolio management using markowitz portfolio theory |
| title_short |
Advanced portfolio management using markowitz portfolio theory |
| title_full |
Advanced portfolio management using markowitz portfolio theory |
| title_fullStr |
Advanced portfolio management using markowitz portfolio theory |
| title_full_unstemmed |
Advanced portfolio management using markowitz portfolio theory |
| title_sort |
advanced portfolio management using markowitz portfolio theory |
| publisher |
Brac University |
| publishDate |
2020 |
| url |
http://hdl.handle.net/10361/13987 |
| work_keys_str_mv |
AT kundusouvik advancedportfoliomanagementusingmarkowitzportfoliotheory AT khanmustaqim advancedportfoliomanagementusingmarkowitzportfoliotheory AT rahmanfaisal advancedportfoliomanagementusingmarkowitzportfoliotheory |
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