Portfolio construction using index regression models

Master Thesis

2008

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http://hdl.handle.net/11427/4933
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thesis_sci_2008_steyn_d_opd.pdf (6.64 MB)
Authors
Steyn, Dirk
Supervisors
Troskie, Casper G
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University of Cape Town

Department
Department of Mathematics and Applied Mathematics
Faculty
Faculty of Science
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Abstract
In this dissertation we review the Sharpe Index Model and an innovation on this model introduced by Hossain, Troskie and Guo (2005b). These models are extended to the multi index framework. We then empirically investigate the impact of the models on portfolio creation over an extensive data set. Next we extend these models by modelling the regression residuals as ARMA and GARCH(l, 1) processes and investigate the effect on the resulting portfolios. We then introduce the topic of bounded influence regression and apply it to financial data by down weighting extreme returns prior to regression. A new weighting function is introduced in this dissertation and the effects on the efficient frontiers and resulting market portfolios for the chosen set of shares are investigated.
Description

Includes bibliographical references (leaves 130-130).

Keywords
Financial Mathematics

Reference:

Steyn, D. 2008. Portfolio construction using index regression models. University of Cape Town.

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Masters