Building a statistical linear factor model and a global minimum variance portfolio using estimated covariance matrices

Matoti, Lundi

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Department of Mathematics and Applied Mathematics

Building a statistical linear factor model and a global minimum variance portfolio using estimated covariance matrices

dc:creator Matoti, Lundi

dc:date.issued2009

Abstract

dc:description.abstract

Includes bibliographical references (leaves 73-75).

Degree

thesis:*

Grantor dc:publisher.institution: Department of Mathematics and Applied Mathematics
Year dc:date.issued: 2009

Author and committee

dc:creator, dc:contributor.*

Author dc:creator: Matoti, Lundi
Advisors dc:contributor.advisor: Wilcox, Diane
Gebbie, T

Rights

Language dc:language.iso: eng

Identifiers

dc:identifier.*

Handle dc:identifier.uri: http://hdl.handle.net/11427/4909
OAI identifier oai:identifier: oai:open.uct.ac.za:11427/4909

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Harvested from: University of Cape Town
Base URL: open.uct.ac.za/oai/request
Last updated: 2026-07-22
Source record: OAI-PMH GetRecord

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citation

Matoti, Lundi. Building a statistical linear factor model and a global minimum variance portfolio using estimated covariance matrices. Department of Mathematics and Applied Mathematics, 2009. http://hdl.handle.net/11427/4909

Building a statistical linear factor model and a global minimum variance portfolio using estimated covariance matrices

Abstract

Degree

Author and committee

Rights

Identifiers

Chain of custody

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