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Washington University in St. Louis

Stochastic Portfolio Optimization

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  • Home
  • Project Overview
  • Methods
    • Stochastic Models
    • Portfolio Optimization
    • Efficient Frontier
    • Rebalancing
  • Results & Discussion
  • Acknowledgements
  • Authors
  • Resource

Methods

There are 4 major computational areas used within this project:

  1. Applying stochastic pricing models, to predict the price of a specific asset or stock.
  2. Applying portfolio optimization principles to the results determined from stochastic pricing models.
  3. Combining multiple optimized portfolios to construct a set of many optimized portfolios called the efficient frontier.
  4. Combining the optimized results of multiple smaller time periods into one large time period, to simulate portfolio re-balancing.

Please click on each step for an overview of how each process is done.

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