Full Text Available
Note: Clicking the button above will open the full text document at the original institutional repository in a new window.
Accurate estimation of risk when constructing efficient portfolios for the capital asset pricing model
Includes abstract.
Saved in:
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
Division of Actuarial Science
2014
|
| Subjects: | |
| Tags: |
No Tags, Be the first to tag this record!
|
| _version_ | 1867613140607303680 |
|---|---|
| access_status_str | Open Access |
| author | Zwane, Samkelo Sifiso |
| author2 | Clark, Allan |
| author_browse | Clark, Allan Zwane, Samkelo Sifiso |
| author_facet | Clark, Allan Zwane, Samkelo Sifiso |
| author_sort | Zwane, Samkelo Sifiso |
| collection | Thesis |
| description | Includes abstract. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/10729 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:31:24.573Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2014 |
| publishDateRange | 2014 |
| publishDateSort | 2014 |
| publisher | Division of Actuarial Science |
| publisherStr | Division of Actuarial Science |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/10729 Accurate estimation of risk when constructing efficient portfolios for the capital asset pricing model Zwane, Samkelo Sifiso Clark, Allan Troskie, Casper G Mathematics of Finance Includes abstract. Includes bibliographical references (leaves 52-58). In this paper, we investigate the behaviour of the efficient frontier and optimal portfolio of the Troskie-Hossain Capital Asset Pricing Model (TrosHos CAPM) and Sharpe Capital Asset Pricing Model (Sharpe CAPM) when the covariance structure of the residuals is correlated under the Markowitz formulation. By building in the dynamic time series models: AR, GARCH and AR/GARCH we were able to model the autocorrelation and heteroskedasticity of the residuals. 2014-12-31T19:48:17Z 2014-12-31T19:48:17Z 2010 Master Thesis Masters MSc http://hdl.handle.net/11427/10729 eng application/pdf Division of Actuarial Science Faculty of Commerce University of Cape Town |
| spellingShingle | Mathematics of Finance Zwane, Samkelo Sifiso Accurate estimation of risk when constructing efficient portfolios for the capital asset pricing model |
| thesis_degree_str | Master's |
| title | Accurate estimation of risk when constructing efficient portfolios for the capital asset pricing model |
| title_full | Accurate estimation of risk when constructing efficient portfolios for the capital asset pricing model |
| title_fullStr | Accurate estimation of risk when constructing efficient portfolios for the capital asset pricing model |
| title_full_unstemmed | Accurate estimation of risk when constructing efficient portfolios for the capital asset pricing model |
| title_short | Accurate estimation of risk when constructing efficient portfolios for the capital asset pricing model |
| title_sort | accurate estimation of risk when constructing efficient portfolios for the capital asset pricing model |
| topic | Mathematics of Finance |
| url | http://hdl.handle.net/11427/10729 |
| work_keys_str_mv | AT zwanesamkelosifiso accurateestimationofriskwhenconstructingefficientportfoliosforthecapitalassetpricingmodel |