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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...
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| Format: | Thesis |
| Language: | English |
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School of Economics
2014
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