Enhancements to the Markowitz mean-variance optimisation process of asset allocation

Master Thesis

1998

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http://hdl.handle.net/11427/9687
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thesis_com_1998_mcleod_w.pdf (8 MB)
Authors
McLeod, Warren
Supervisors
Bradfield, Dave
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University of Cape Town

Department
Division of Actuarial Science
Faculty
Faculty of Commerce
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Abstract
[The focus of this thesis is on the practical application of portfolio selection. It is a field that receives much attention, no more so than after the world market crashes (i.e. October 1997) which highlighted the importance of risk management. Consequently there is a need to examine the current tools in current use to create our portfolios and to look at ways in which they could be improved. The Bayesians have certainly contributed in this area, and more noticeably in the 1990's. We shall examine their contributions quite extensively in this thesis.
Description

Includes bibliographical references.

Reference:

McLeod, W. 1998. Enhancements to the Markowitz mean-variance optimisation process of asset allocation. University of Cape Town.

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Masters