PORTFOLIO OPTIMIZATION AND RISK ANALYSIS
Publisher
The University of Arizona.Rights
Copyright © is held by the author. Digital access to this material is made possible by the University Libraries, University of Arizona. Further transmission, reproduction or presentation (such as public display or performance) of protected items is prohibited except with permission of the author.Abstract
There are three primary goals of this paper. The first is to create an efficient portfolio of 29 stocks from the Dow Jones Industrial Average. The second, is to manually code a GARCH(1,1) maximum likelihood estimation procedure in order to create a GARCH(1,1) model that estimates future volatility changes of the efficient portfolio. The final goal is to explain the mathematics behind the entire process.Type
Electronic Thesistext
Degree Name
B.S.Degree Level
bachelorsDegree Program
MathematicsHonors College