Portfolio constuction using robust weight functions

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dc.contributor.advisorTroskie, CGen_ZA
dc.contributor.advisorClarke, Allenen_ZA
dc.contributor.authorMvubu, Thokozanien_ZA
dc.date.accessioned2014-07-31T12:29:22Z
dc.date.available2014-07-31T12:29:22Z
dc.date.issued2010en_ZA
dc.description.abstractThe Markowitz portfolio selection model has formed the foundation from which all the other portfolio selection models are formulated. The Sharpe Single Index and the Improved Sharpe Single Index models have been formulated in a bid to form better performing models. In the optimization algorithms, these models tend to not select highly volatile shares and thus eliminate the possibility of making better returns in the event these shares perform very well. The Huber and Tukey Bisquare weights are considered in this project to enhance these models in capturing these outlying observations. The Huber weights in the Improved Sharpe (Troskie-Hossain) Single Index model are found to be giving a better and more realistic optimal portfolio compared to the Sharpe Single Index model. 2en_ZA
dc.identifier.apacitationMvubu, T. (2010). <i>Portfolio constuction using robust weight functions</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science. Retrieved from http://hdl.handle.net/11427/5807en_ZA
dc.identifier.chicagocitationMvubu, Thokozani. <i>"Portfolio constuction using robust weight functions."</i> Thesis., University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2010. http://hdl.handle.net/11427/5807en_ZA
dc.identifier.citationMvubu, T. 2010. Portfolio constuction using robust weight functions. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Mvubu, Thokozani AB - The Markowitz portfolio selection model has formed the foundation from which all the other portfolio selection models are formulated. The Sharpe Single Index and the Improved Sharpe Single Index models have been formulated in a bid to form better performing models. In the optimization algorithms, these models tend to not select highly volatile shares and thus eliminate the possibility of making better returns in the event these shares perform very well. The Huber and Tukey Bisquare weights are considered in this project to enhance these models in capturing these outlying observations. The Huber weights in the Improved Sharpe (Troskie-Hossain) Single Index model are found to be giving a better and more realistic optimal portfolio compared to the Sharpe Single Index model. 2 DA - 2010 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2010 T1 - Portfolio constuction using robust weight functions TI - Portfolio constuction using robust weight functions UR - http://hdl.handle.net/11427/5807 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/5807
dc.identifier.vancouvercitationMvubu T. Portfolio constuction using robust weight functions. [Thesis]. University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2010 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/5807en_ZA
dc.language.isoeng
dc.publisher.departmentDivision of Actuarial Scienceen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherMathematical Financeen_ZA
dc.titlePortfolio constuction using robust weight functionsen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMComen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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