Modern portfolio optimization using robust estimation techniques

Master Thesis

2005

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http://hdl.handle.net/11427/4943
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thesis_sci_2005_van_straaten_c.pdf (3.82 MB)
Authors
Van Straaten, Conrad
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
Rather than following a normal distribution, share returns and market proxies have been shown to follow skewed distributions, with long tails in some cases. In this dissertation various robust estimation techniques are investigated in an attempt to minimise the influence that outliers may have on the estimation and to better estimate the input parameters for the Markowitz and Sharpe portfolio models. The main goal is to ascertain whether or not the input parameters determined, using the robust procedures, yield better results than the Ordinary Least Squares (OLS) procedure.
Description

Includes bibliographical references.

Keywords
Financial Mathematics

Reference:

Van Straaten, C. 2005. Modern portfolio optimization using robust estimation techniques. University of Cape Town.

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