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An investigation into reference-day risk-free metrics in the context of modern portfolio theory on the JSE
Modern portfolio theory (MPT), asset pricing models and broader financial modelling are dependent upon the accuracy of input parameters. For example, the accuracy of expected returns, standard deviations and correlations as an input into MPT will result in a more efficient selection of the optimal p...
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| Format: | Thesis |
| Language: | English |
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Department of Finance and Tax
2020
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