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Portfolio Modeling, Analysis and Management

Abstract A systematic top down approach to minimize risk and maximize the profits of an investment over a given period of time is proposed. Macroeconomic factors such as Gross Domestic Product (GDP), Consumer Price Index (CPI), Outstanding Consumer Credit, Industrial Production Index, Money Supply (MS), Unemployment Rate, and Ten-Year Treasury are used to predict/estimate asset (sector ETF`s) returns. Fundamental ratios of individual stocks are used to predict the stock returns. An a priori known cash-flow sequence is assumed available for investment. Given the importance of sector performance on stock performance, sector based Exchange Traded Funds (ETFs) for the S&P; and Dow Jones are considered and wealth is allocated. Mean variance optimizat... (more)
Created Date 2010
Contributor Chitturi, Divakar (Author) / Rodriguez, Armando (Advisor) / Tsakalis, Konstantinos S (Committee member) / Si, Jennie (Committee member) / Arizona State University (Publisher)
Subject Electrical Engineering / Economics, Finance
Type Masters Thesis
Extent 175 pages
Language English
Reuse Permissions All Rights Reserved
Note M.S. Electrical Engineering 2010
Collaborating Institutions Graduate College / ASU Library
Additional Formats MODS / OAI Dublin Core / RIS

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Description Dissertation/Thesis