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

Master Thesis

2010

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http://hdl.handle.net/11427/10729
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thesis_com_2010_zwane_s.pdf (1.08 MB)
Authors
Zwane, Samkelo Sifiso
Supervisors
Clark, Allan
Troskie, Casper G
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University of Cape Town

Department
Division of Actuarial Science
Faculty
Faculty of Commerce
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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.
Description

Includes abstract.


Includes bibliographical references (leaves 52-58).

Keywords
Mathematics of Finance

Reference:

Zwane, S. 2010. Accurate estimation of risk when constructing efficient portfolios for the capital asset pricing model. University of Cape Town.

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