Modern portfolio optimization using robust estimation techniques

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dc.contributor.advisorTroskie, Casper Gen_ZA
dc.contributor.authorVan Straaten, Conraden_ZA
dc.date.accessioned2014-07-31T08:11:11Z
dc.date.available2014-07-31T08:11:11Z
dc.date.issued2005en_ZA
dc.descriptionIncludes bibliographical references.
dc.description.abstractRather 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.en_ZA
dc.identifier.apacitationVan Straaten, C. (2005). <i>Modern portfolio optimization using robust estimation techniques</i>. (Thesis). University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics. Retrieved from http://hdl.handle.net/11427/4943en_ZA
dc.identifier.chicagocitationVan Straaten, Conrad. <i>"Modern portfolio optimization using robust estimation techniques."</i> Thesis., University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics, 2005. http://hdl.handle.net/11427/4943en_ZA
dc.identifier.citationVan Straaten, C. 2005. Modern portfolio optimization using robust estimation techniques. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Van Straaten, Conrad AB - 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. DA - 2005 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2005 T1 - Modern portfolio optimization using robust estimation techniques TI - Modern portfolio optimization using robust estimation techniques UR - http://hdl.handle.net/11427/4943 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/4943
dc.identifier.vancouvercitationVan Straaten C. Modern portfolio optimization using robust estimation techniques. [Thesis]. University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics, 2005 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/4943en_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.titleModern portfolio optimization using robust estimation techniquesen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMScen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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