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Modern portfolio optimization using robust estimation techniques
Includes bibliographical references.
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| Main Author: | |
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
Department of Mathematics and Applied Mathematics
2014
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| _version_ | 1867613212309979136 |
|---|---|
| access_status_str | Open Access |
| author | Van Straaten, Conrad |
| author2 | Troskie, Casper G |
| author_browse | Troskie, Casper G Van Straaten, Conrad |
| author_facet | Troskie, Casper G Van Straaten, Conrad |
| author_sort | Van Straaten, Conrad |
| collection | Thesis |
| description | Includes bibliographical references. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/4943 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:32:33.381Z |
| 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:11427/4943 Modern portfolio optimization using robust estimation techniques Van Straaten, Conrad Troskie, Casper G Financial Mathematics Includes bibliographical references. Rather than following a normal distribution, share returns and market proxies have been shown to follow skewed distributions, with long tails in some cases. In this dissertation various robust estimation techniques are investigated in an attempt to minimise the influence that outliers may have on the estimation and to better estimate the input parameters for the Markowitz and Sharpe portfolio models. The main goal is to ascertain whether or not the input parameters determined, using the robust procedures, yield better results than the Ordinary Least Squares (OLS) procedure. 2014-07-31T08:11:11Z 2014-07-31T08:11:11Z 2005 Master Thesis Masters MSc http://hdl.handle.net/11427/4943 eng application/pdf Department of Mathematics and Applied Mathematics Faculty of Science University of Cape Town |
| spellingShingle | Financial Mathematics Van Straaten, Conrad Modern portfolio optimization using robust estimation techniques |
| thesis_degree_str | Master's |
| title | Modern portfolio optimization using robust estimation techniques |
| title_full | Modern portfolio optimization using robust estimation techniques |
| title_fullStr | Modern portfolio optimization using robust estimation techniques |
| title_full_unstemmed | Modern portfolio optimization using robust estimation techniques |
| title_short | Modern portfolio optimization using robust estimation techniques |
| title_sort | modern portfolio optimization using robust estimation techniques |
| topic | Financial Mathematics |
| url | http://hdl.handle.net/11427/4943 |
| work_keys_str_mv | AT vanstraatenconrad modernportfoliooptimizationusingrobustestimationtechniques |