Time dependent Mean Variance Analysis in Econophysics
Project Description

Portfolio management using Mean Variance Analysis is studied using real time series data.

Supervisor
SZETO Kwok Yip
Quota
1
Course type
UROP1000
UROP1100
UROP2100
UROP3100
UROP4100
Applicant's Roles

Applicant is expected to know how to do numerical simulation and has some background in statistical physics.

Non-numerical analysis of the Markowitz theory of portfolio management

Applicant's Learning Objectives

Data analysis and analytical calculation using some mathematics in statistics will be
conducted.
1. Basic theory of Markowitz is covered

2. Methods in Statistical Physics and Stochastic dynamics will be used in portfolio management theory for further development in Mean Variance Analysis

3. Student will learn how to perform time series analysis using real stock data from Reuters.

Complexity of the project
Challenging