1999-2000 Final Year Projects

Portfolio Selection, or how to invest in the stock market

Supervisor(s): Dr. Ting H. F.( hfting@csis.hku.hk)

No of students:3

Prerequisite: None

Project Type: CS


Consider a market of m securities: these can be stocks, bonds, foreign currencies, or commodities. An investment in the market, or portfolio, is specified as the proportion of dollar wealth currently invested in each of the m securities. Recently, there are many algorithms proposed for portfolio selection. In this project, we are to survey these algorithms, implement some of them and evaluate them empirically on how well they perform in real-life situation.