Building a statistical linear factor model and a global minimum variance portfolio using estimated covariance matrices

Master Thesis

2009

Permanent link to this Item
http://hdl.handle.net/11427/4909
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thesis_sci_2009_matoti_l.pdf (3.09 MB)
Authors
Matoti, Lundi
Supervisors
Wilcox, Diane
Gebbie, T
Journal Title
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Publisher
Publisher

University of Cape Town

Department
Department of Mathematics and Applied Mathematics
Faculty
Faculty of Science
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Abstract
Includes bibliographical references (leaves 73-75).
Description
Keywords
Mathematics of Finance

Reference:

Matoti, L. 2009. Building a statistical linear factor model and a global minimum variance portfolio using estimated covariance matrices. University of Cape Town.

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