Portfolio optimization and risk analysis

In recent years, the use of Mathematics and Statistics in Finance has become increasingly important, with the arrival of new software and investment methods. The notion of market efficiency, particularly the assumption that assets are always correctly priced, suffers from market anomalies which lead to potential arbitrage strategies in the short run. Therefore, this project aims to model portfolios using market anomalies and traditional finance methods. The goal is to develop a step-by-step procedure for portfolio selection and implement it in software.
The interns will have the chance to learn more about financial markets, portfolio construction, risk measures and multifactors models. Furthermore, it is an opportunity for interns to work with real world financial data using their computational skills. The company will benefit from the implementation of a step-by-step procedure to analyze their investment strategy.

Intern: 
Charles Sam
Danfeng Que
Alexis Arrigoni
Elizabeth Ofori
Faculty Supervisor: 
Antony Ware
Project Year: 
2018
Province: 
Alberta
Discipline: 
Program: