Accurate estimation of risk when constructing efficient portfolios for the capital asset pricing model

 

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dc.contributor.advisor Clark, Allan en_ZA
dc.contributor.advisor Troskie, Casper G en_ZA
dc.contributor.author Zwane, Samkelo Sifiso en_ZA
dc.date.accessioned 2014-12-31T19:48:17Z
dc.date.available 2014-12-31T19:48:17Z
dc.date.issued 2010 en_ZA
dc.identifier.citation Zwane, S. 2010. Accurate estimation of risk when constructing efficient portfolios for the capital asset pricing model. University of Cape Town. en_ZA
dc.identifier.uri http://hdl.handle.net/11427/10729
dc.description Includes abstract. en_ZA
dc.description Includes bibliographical references (leaves 52-58). en_ZA
dc.description.abstract In this paper, we investigate the behaviour of the efficient frontier and optimal portfolio of the Troskie-Hossain Capital Asset Pricing Model (TrosHos CAPM) and Sharpe Capital Asset Pricing Model (Sharpe CAPM) when the covariance structure of the residuals is correlated under the Markowitz formulation. By building in the dynamic time series models: AR, GARCH and AR/GARCH we were able to model the autocorrelation and heteroskedasticity of the residuals. en_ZA
dc.language.iso eng en_ZA
dc.subject.other Mathematics of Finance en_ZA
dc.title Accurate estimation of risk when constructing efficient portfolios for the capital asset pricing model en_ZA
dc.type Master Thesis
uct.type.publication Research en_ZA
uct.type.resource Thesis en_ZA
dc.publisher.institution University of Cape Town
dc.publisher.faculty Faculty of Commerce en_ZA
dc.publisher.department Division of Actuarial Science en_ZA
dc.type.qualificationlevel Masters
dc.type.qualificationname MSc en_ZA
uct.type.filetype Text
uct.type.filetype Image
dc.identifier.apacitation Zwane, S. S. (2010). <i>Accurate estimation of risk when constructing efficient portfolios for the capital asset pricing model</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science. Retrieved from http://hdl.handle.net/11427/10729 en_ZA
dc.identifier.chicagocitation Zwane, Samkelo Sifiso. <i>"Accurate estimation of risk when constructing efficient portfolios for the capital asset pricing model."</i> Thesis., University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2010. http://hdl.handle.net/11427/10729 en_ZA
dc.identifier.vancouvercitation Zwane SS. Accurate estimation of risk when constructing efficient portfolios for the capital asset pricing model. [Thesis]. University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2010 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/10729 en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Zwane, Samkelo Sifiso AB - In this paper, we investigate the behaviour of the efficient frontier and optimal portfolio of the Troskie-Hossain Capital Asset Pricing Model (TrosHos CAPM) and Sharpe Capital Asset Pricing Model (Sharpe CAPM) when the covariance structure of the residuals is correlated under the Markowitz formulation. By building in the dynamic time series models: AR, GARCH and AR/GARCH we were able to model the autocorrelation and heteroskedasticity of the residuals. DA - 2010 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2010 T1 - Accurate estimation of risk when constructing efficient portfolios for the capital asset pricing model TI - Accurate estimation of risk when constructing efficient portfolios for the capital asset pricing model UR - http://hdl.handle.net/11427/10729 ER - en_ZA


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