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

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dc.contributor.advisorClark, Allanen_ZA
dc.contributor.advisorTroskie, Casper Gen_ZA
dc.contributor.authorZwane, Samkelo Sifisoen_ZA
dc.date.accessioned2014-12-31T19:48:17Z
dc.date.available2014-12-31T19:48:17Z
dc.date.issued2010en_ZA
dc.descriptionIncludes abstract.en_ZA
dc.descriptionIncludes bibliographical references (leaves 52-58).en_ZA
dc.description.abstractIn 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.identifier.apacitationZwane, 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/11427/10729en_ZA
dc.identifier.chicagocitationZwane, 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/11427/10729en_ZA
dc.identifier.citationZwane, S. 2010. Accurate estimation of risk when constructing efficient portfolios for the capital asset pricing model. University of Cape Town.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
dc.identifier.urihttp://hdl.handle.net/11427/10729
dc.identifier.vancouvercitationZwane 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/11427/10729en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDivision of Actuarial Scienceen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherMathematics of Financeen_ZA
dc.titleAccurate estimation of risk when constructing efficient portfolios for the capital asset pricing modelen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMScen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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