Accurate portfolio risk-return structure modelling

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dc.contributor.advisorTroskie, Casper Gen_ZA
dc.contributor.advisorGuo, Renkuanen_ZA
dc.contributor.authorHossain, Nafeesen_ZA
dc.date.accessioned2016-03-30T14:49:03Z
dc.date.available2016-03-30T14:49:03Z
dc.date.issued2006en_ZA
dc.description.abstractMarkowitz's modem portfolio theory has played a vital role in investment portfolio management, which is constantly pushing the development on volatility models. Particularly, the stochastic volatility model which reveals the dynamics of conditional volatility. Financial time series and volatility models has become one of the hot spots in operations research. In this thesis, one of the areas we explore is the theoretical formulation of the optimal portfolio selection problem under Ito calculus framework. Particularly, a stochastic variation calculus problem, i.e., seeking the optimal stochastic volatility diffusion family for facilitating the best portfolio selection identified under the continuous-time stochastic optimal control theoretical settings. One of the properties this study examines is the left-shifting role of the GARCH(1, 1) (General Autoregressive Conditional Heteroskedastic) model's efficient frontier. This study considers many instances where the left shifting superior behaviour of the GARCH(1, 1) is observed. One such instance is when GARCH(1, 1) is compared within the volatility modelling extensions of the GARCH environ in a single index framework. This study will demonstrate the persistence of the superiority of the G ARCH ( 1, 1) frontier within a multiple and single index context of modem portfolio theory. Many portfolio optimization models are investigated, particularly the Markowitz model and the Sharpe Multiple and Single index models. Includes bibliographical references (p. 313-323).en_ZA
dc.identifier.apacitationHossain, N. (2006). <i>Accurate portfolio risk-return structure modelling</i>. (Thesis). University of Cape Town ,Faculty of Science ,Department of Statistical Sciences. Retrieved from http://hdl.handle.net/11427/18423en_ZA
dc.identifier.chicagocitationHossain, Nafees. <i>"Accurate portfolio risk-return structure modelling."</i> Thesis., University of Cape Town ,Faculty of Science ,Department of Statistical Sciences, 2006. http://hdl.handle.net/11427/18423en_ZA
dc.identifier.citationHossain, N. 2006. Accurate portfolio risk-return structure modelling. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Hossain, Nafees AB - Markowitz's modem portfolio theory has played a vital role in investment portfolio management, which is constantly pushing the development on volatility models. Particularly, the stochastic volatility model which reveals the dynamics of conditional volatility. Financial time series and volatility models has become one of the hot spots in operations research. In this thesis, one of the areas we explore is the theoretical formulation of the optimal portfolio selection problem under Ito calculus framework. Particularly, a stochastic variation calculus problem, i.e., seeking the optimal stochastic volatility diffusion family for facilitating the best portfolio selection identified under the continuous-time stochastic optimal control theoretical settings. One of the properties this study examines is the left-shifting role of the GARCH(1, 1) (General Autoregressive Conditional Heteroskedastic) model's efficient frontier. This study considers many instances where the left shifting superior behaviour of the GARCH(1, 1) is observed. One such instance is when GARCH(1, 1) is compared within the volatility modelling extensions of the GARCH environ in a single index framework. This study will demonstrate the persistence of the superiority of the G ARCH ( 1, 1) frontier within a multiple and single index context of modem portfolio theory. Many portfolio optimization models are investigated, particularly the Markowitz model and the Sharpe Multiple and Single index models. Includes bibliographical references (p. 313-323). DA - 2006 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2006 T1 - Accurate portfolio risk-return structure modelling TI - Accurate portfolio risk-return structure modelling UR - http://hdl.handle.net/11427/18423 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/18423
dc.identifier.vancouvercitationHossain N. Accurate portfolio risk-return structure modelling. [Thesis]. University of Cape Town ,Faculty of Science ,Department of Statistical Sciences, 2006 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/18423en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDepartment of Statistical Sciencesen_ZA
dc.publisher.facultyFaculty of Scienceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherStatistical Scienceen_ZA
dc.titleAccurate portfolio risk-return structure modellingen_ZA
dc.typeDoctoral Thesis
dc.type.qualificationlevelDoctoral
dc.type.qualificationnamePhDen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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