Portfolio construction using index regression models

Simple item page
dc.contributor.advisorTroskie, Casper Gen_ZA
dc.contributor.authorSteyn, Dirken_ZA
dc.date.accessioned2014-07-31T08:11:00Z
dc.date.available2014-07-31T08:11:00Z
dc.date.issued2008en_ZA
dc.descriptionIncludes bibliographical references (leaves 130-130).
dc.description.abstractIn 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.en_ZA
dc.identifier.apacitationSteyn, D. (2008). <i>Portfolio construction using index regression models</i>. (Thesis). University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics. Retrieved from http://hdl.handle.net/11427/4933en_ZA
dc.identifier.chicagocitationSteyn, Dirk. <i>"Portfolio construction using index regression models."</i> Thesis., University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics, 2008. http://hdl.handle.net/11427/4933en_ZA
dc.identifier.citationSteyn, D. 2008. Portfolio construction using index regression models. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Steyn, Dirk AB - 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. DA - 2008 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2008 T1 - Portfolio construction using index regression models TI - Portfolio construction using index regression models UR - http://hdl.handle.net/11427/4933 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/4933
dc.identifier.vancouvercitationSteyn D. Portfolio construction using index regression models. [Thesis]. University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics, 2008 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/4933en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDepartment of Mathematics and Applied Mathematicsen_ZA
dc.publisher.facultyFaculty of Scienceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherFinancial Mathematicsen_ZA
dc.titlePortfolio construction using index regression modelsen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMAen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
Files
Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
thesis_sci_2008_steyn_d_opd.pdf
Size:
6.64 MB
Format:
Adobe Portable Document Format
Description:
Download
Collections
Masters