Full Text Available
Note: Clicking the button above will open the full text document at the original institutional repository in a new window.
Portfolio constuction using robust weight functions
The Markowitz portfolio selection model has formed the foundation from which all the other portfolio selection models are formulated. The Sharpe Single Index and the Improved Sharpe Single Index models have been formulated in a bid to form better performing models. In the optimization algorithms, th...
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_ | 1867613617472405504 |
|---|---|
| access_status_str | Open Access |
| author | Mvubu, Thokozani |
| author2 | Troskie, CG |
| author_browse | Mvubu, Thokozani Troskie, CG |
| author_facet | Troskie, CG Mvubu, Thokozani |
| author_sort | Mvubu, Thokozani |
| collection | Thesis |
| description | The Markowitz portfolio selection model has formed the foundation from which all the other portfolio selection models are formulated. The Sharpe Single Index and the Improved Sharpe Single Index models have been formulated in a bid to form better performing models. In the optimization algorithms, these models tend to not select highly volatile shares and thus eliminate the possibility of making better returns in the event these shares perform very well. The Huber and Tukey Bisquare weights are considered in this project to enhance these models in capturing these outlying observations. The Huber weights in the Improved Sharpe (Troskie-Hossain) Single Index model are found to be giving a better and more realistic optimal portfolio compared to the Sharpe Single Index model. 2 |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/5807 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:38:59.954Z |
| 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:11427/5807 Portfolio constuction using robust weight functions Mvubu, Thokozani Troskie, CG Clarke, Allen Mathematical Finance The Markowitz portfolio selection model has formed the foundation from which all the other portfolio selection models are formulated. The Sharpe Single Index and the Improved Sharpe Single Index models have been formulated in a bid to form better performing models. In the optimization algorithms, these models tend to not select highly volatile shares and thus eliminate the possibility of making better returns in the event these shares perform very well. The Huber and Tukey Bisquare weights are considered in this project to enhance these models in capturing these outlying observations. The Huber weights in the Improved Sharpe (Troskie-Hossain) Single Index model are found to be giving a better and more realistic optimal portfolio compared to the Sharpe Single Index model. 2 2014-07-31T12:29:22Z 2014-07-31T12:29:22Z 2010 Master Thesis Masters MCom http://hdl.handle.net/11427/5807 eng application/pdf Division of Actuarial Science Faculty of Commerce University of Cape Town |
| spellingShingle | Mathematical Finance Mvubu, Thokozani Portfolio constuction using robust weight functions |
| thesis_degree_str | Master's |
| title | Portfolio constuction using robust weight functions |
| title_full | Portfolio constuction using robust weight functions |
| title_fullStr | Portfolio constuction using robust weight functions |
| title_full_unstemmed | Portfolio constuction using robust weight functions |
| title_short | Portfolio constuction using robust weight functions |
| title_sort | portfolio constuction using robust weight functions |
| topic | Mathematical Finance |
| url | http://hdl.handle.net/11427/5807 |
| work_keys_str_mv | AT mvubuthokozani portfolioconstuctionusingrobustweightfunctions |