Multi-factor Equity Portfolio Research on Stock Selection

This personal side project constructed an equity portfolio with stocks selected from the S&P500 index and rebalanced monthly based on several predictive factors. I performed a detailed analysis of constructed factors using some common industry practices.

Backtesting for Market Timing Strategies with Moving Averages

This personal side project aims to build a backtesting environment for market timing strategies on individual stocks and indices. Commonly used performance metrics are calculated. This presentation uses a double-moving average strategy as an example, therefore, additional analyses are performed.

All Weather Portfolio Construction

This school project uses ETFs to construct a dual-currency multi-asset all-weather fund of funds portfolio. I set up the backtesting environment, coded multiple asset allocation strategies with constraints under the mean-variance framework, and simulated historical portfolio performances.

Commodity Risk VaR Analysis Automation

Internship projects at RBC Capital Markets. Please watch the YouTube video using the link provided.

Exercise Boundary of American Put Options

This school project examines how the exercise boundary of an American put option behaves when input parameters are altered under a binomial model. Request for report.

Delta and Delta-Gamma Hedge of European Options under the Black-Scholes Model

This school project uses Monte Carlo simulation to study Delta/Gamma hedge's effectiveness for a European option. Options are priced under the Black-Scholes Model. The effectiveness is assessed by calculating the mean, median, standard deviation, VaR, and CVaR of terminal PnL. Request for report.

Stochastic Interest Rates on Bond Options and Swaptions

This school project investigates several aspects of the stochastic interest rates under the Vasicek Model and its impact on bond options and swaptions. The analytic results are compared with simulation results. Request for report.

Estimating Implied Volatility using Monte Carlo Simulation with Control Variate in the Heston Model

This school project compares the estimated implied volatility results from the Monte Carlo simulation with and without the use of control variate. The asset movement is modeled under the Heston Model. Several discretization methods are also compared. Request for report.

Portfolio Optimization under the Mean-Variance framework

This school project compares different factor models (e.g. market, Fama-French) and estimates the parameters required for portfolio optimization under the mean-variance framework. The investment consists of 20 stocks for 5 years, rebalanced annually. Request for report.

Mini board game

First developed during my freshman year, this game project explores OOP concepts such as encapsulation, abstraction, inheritance, and polymorphism.