Modern portfolio optimization using robust estimation techniques

 

Show simple item record

dc.contributor.advisor Troskie, Casper G en_ZA
dc.contributor.author Van Straaten, Conrad en_ZA
dc.date.accessioned 2014-07-31T08:11:11Z
dc.date.available 2014-07-31T08:11:11Z
dc.date.issued 2005 en_ZA
dc.identifier.citation Van Straaten, C. 2005. Modern portfolio optimization using robust estimation techniques. University of Cape Town. en_ZA
dc.identifier.uri http://hdl.handle.net/11427/4943
dc.description Includes bibliographical references.
dc.description.abstract Rather than following a normal distribution, share returns and market proxies have been shown to follow skewed distributions, with long tails in some cases. In this dissertation various robust estimation techniques are investigated in an attempt to minimise the influence that outliers may have on the estimation and to better estimate the input parameters for the Markowitz and Sharpe portfolio models. The main goal is to ascertain whether or not the input parameters determined, using the robust procedures, yield better results than the Ordinary Least Squares (OLS) procedure. en_ZA
dc.language.iso eng en_ZA
dc.subject.other Financial Mathematics en_ZA
dc.title Modern portfolio optimization using robust estimation techniques 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 Science en_ZA
dc.publisher.department Department of Mathematics and Applied Mathematics en_ZA
dc.type.qualificationlevel Masters
dc.type.qualificationname MSc en_ZA
uct.type.filetype Text
uct.type.filetype Image
dc.identifier.apacitation Van Straaten, C. (2005). <i>Modern portfolio optimization using robust estimation techniques</i>. (Thesis). University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics. Retrieved from http://hdl.handle.net/11427/4943 en_ZA
dc.identifier.chicagocitation Van Straaten, Conrad. <i>"Modern portfolio optimization using robust estimation techniques."</i> Thesis., University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics, 2005. http://hdl.handle.net/11427/4943 en_ZA
dc.identifier.vancouvercitation Van Straaten C. Modern portfolio optimization using robust estimation techniques. [Thesis]. University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics, 2005 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/4943 en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Van Straaten, Conrad AB - Rather than following a normal distribution, share returns and market proxies have been shown to follow skewed distributions, with long tails in some cases. In this dissertation various robust estimation techniques are investigated in an attempt to minimise the influence that outliers may have on the estimation and to better estimate the input parameters for the Markowitz and Sharpe portfolio models. The main goal is to ascertain whether or not the input parameters determined, using the robust procedures, yield better results than the Ordinary Least Squares (OLS) procedure. DA - 2005 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2005 T1 - Modern portfolio optimization using robust estimation techniques TI - Modern portfolio optimization using robust estimation techniques UR - http://hdl.handle.net/11427/4943 ER - en_ZA


Files in this item

This item appears in the following Collection(s)

Show simple item record