Full Text Available
Note: Clicking the button above will open the full text document at the original institutional repository in a new window.
Portfolio construction using index regression models
Includes bibliographical references (leaves 130-130).
Saved in:
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
Department of Mathematics and Applied Mathematics
2014
|
| Subjects: | |
| Tags: |
No Tags, Be the first to tag this record!
|
| _version_ | 1867613168194289664 |
|---|---|
| access_status_str | Open Access |
| author | Steyn, Dirk |
| author2 | Troskie, Casper G |
| author_browse | Steyn, Dirk Troskie, Casper G |
| author_facet | Troskie, Casper G Steyn, Dirk |
| author_sort | Steyn, Dirk |
| collection | Thesis |
| description | Includes bibliographical references (leaves 130-130). |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/4933 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:31:50.330Z |
| 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 | Department of Mathematics and Applied Mathematics |
| publisherStr | Department of Mathematics and Applied Mathematics |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/4933 Portfolio construction using index regression models Steyn, Dirk Troskie, Casper G Financial Mathematics Includes bibliographical references (leaves 130-130). In this dissertation we review the Sharpe Index Model and an innovation on this model introduced by Hossain, Troskie and Guo (2005b). These models are extended to the multi index framework. We then empirically investigate the impact of the models on portfolio creation over an extensive data set. Next we extend these models by modelling the regression residuals as ARMA and GARCH(l, 1) processes and investigate the effect on the resulting portfolios. We then introduce the topic of bounded influence regression and apply it to financial data by down weighting extreme returns prior to regression. A new weighting function is introduced in this dissertation and the effects on the efficient frontiers and resulting market portfolios for the chosen set of shares are investigated. 2014-07-31T08:11:00Z 2014-07-31T08:11:00Z 2008 Master Thesis Masters MA http://hdl.handle.net/11427/4933 eng application/pdf Department of Mathematics and Applied Mathematics Faculty of Science University of Cape Town |
| spellingShingle | Financial Mathematics Steyn, Dirk Portfolio construction using index regression models |
| thesis_degree_str | Master's |
| title | Portfolio construction using index regression models |
| title_full | Portfolio construction using index regression models |
| title_fullStr | Portfolio construction using index regression models |
| title_full_unstemmed | Portfolio construction using index regression models |
| title_short | Portfolio construction using index regression models |
| title_sort | portfolio construction using index regression models |
| topic | Financial Mathematics |
| url | http://hdl.handle.net/11427/4933 |
| work_keys_str_mv | AT steyndirk portfolioconstructionusingindexregressionmodels |