Full Text Available
Note: Clicking the button above will open the full text document at the original institutional repository in a new window.
Covariance matrix estimation methods for constrained portfolio optimization in a South African setting
One of the major topics of concern in Modern Portfolio Theory is portfolio optimization which is centred on the mean-variance framework. In order for this framework to be implemented, esti- mated parameters (covariance matrix for the constrained portfo- lio) are required. The problem with these esti...
Saved in:
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
School of Economics
2014
|
| Subjects: | |
| Tags: |
No Tags, Be the first to tag this record!
|