Portfolio constuction using robust weight functions

 

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dc.contributor.advisor Troskie, CG en_ZA
dc.contributor.advisor Clarke, Allen en_ZA
dc.contributor.author Mvubu, Thokozani en_ZA
dc.date.accessioned 2014-07-31T12:29:22Z
dc.date.available 2014-07-31T12:29:22Z
dc.date.issued 2010 en_ZA
dc.identifier.citation Mvubu, T. 2010. Portfolio constuction using robust weight functions. University of Cape Town. en_ZA
dc.identifier.uri http://hdl.handle.net/11427/5807
dc.description.abstract The Markowitz portfolio selection model has formed the foundation from which all the other portfolio selection models are formulated. The Sharpe Single Index and the Improved Sharpe Single Index models have been formulated in a bid to form better performing models. In the optimization algorithms, these models tend to not select highly volatile shares and thus eliminate the possibility of making better returns in the event these shares perform very well. The Huber and Tukey Bisquare weights are considered in this project to enhance these models in capturing these outlying observations. The Huber weights in the Improved Sharpe (Troskie-Hossain) Single Index model are found to be giving a better and more realistic optimal portfolio compared to the Sharpe Single Index model. 2 en_ZA
dc.subject.other Mathematical Finance en_ZA
dc.title Portfolio constuction using robust weight functions en_ZA
dc.type Thesis / Dissertation en_ZA
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 en_ZA
dc.type.qualificationname MCom en_ZA
uct.type.filetype Text
uct.type.filetype Image
dc.identifier.apacitation Mvubu, T. (2010). <i>Portfolio constuction using robust weight functions</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science. Retrieved from http://hdl.handle.net/11427/5807 en_ZA
dc.identifier.chicagocitation Mvubu, Thokozani. <i>"Portfolio constuction using robust weight functions."</i> Thesis., University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2010. http://hdl.handle.net/11427/5807 en_ZA
dc.identifier.vancouvercitation Mvubu T. Portfolio constuction using robust weight functions. [Thesis]. University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2010 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/5807 en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Mvubu, Thokozani AB - The Markowitz portfolio selection model has formed the foundation from which all the other portfolio selection models are formulated. The Sharpe Single Index and the Improved Sharpe Single Index models have been formulated in a bid to form better performing models. In the optimization algorithms, these models tend to not select highly volatile shares and thus eliminate the possibility of making better returns in the event these shares perform very well. The Huber and Tukey Bisquare weights are considered in this project to enhance these models in capturing these outlying observations. The Huber weights in the Improved Sharpe (Troskie-Hossain) Single Index model are found to be giving a better and more realistic optimal portfolio compared to the Sharpe Single Index model. 2 DA - 2010 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2010 T1 - Portfolio constuction using robust weight functions TI - Portfolio constuction using robust weight functions UR - http://hdl.handle.net/11427/5807 ER - en_ZA


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