{"id":{"repo_id":"cape-town","oai_identifier":"oai:open.uct.ac.za:11427/10729"},"canonical_url":"https://search.dev.ndltd.org/etd/cape-town/oai:open.uct.ac.za:11427/10729","repository":{"repo_id":"cape-town","name":"University of Cape Town","base_url":"https://open.uct.ac.za/oai/request"},"display":{"title":"Accurate estimation of risk when constructing efficient portfolios for the capital asset pricing model","abstract":"In this paper, we investigate the behaviour of the efficient frontier and optimal portfolio of the Troskie-Hossain Capital Asset Pricing Model (TrosHos CAPM) and Sharpe Capital Asset Pricing Model (Sharpe CAPM) when the covariance structure of the residuals is correlated under the Markowitz formulation. 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By building in the dynamic time series models: AR, GARCH and AR/GARCH we were able to model the autocorrelation and heteroskedasticity of the residuals."]},{"key":"dc:title","label":"Title","values":["Accurate estimation of risk when constructing efficient portfolios for the capital asset pricing model"]}]}],"canonical_facts":{"dc:contributor.advisor":["Clark, Allan","Troskie, Casper G"],"dc:creator":["Zwane, Samkelo Sifiso"],"dc:date.accessioned":["2014-12-31T19:48:17Z"],"dc:date.available":["2014-12-31T19:48:17Z"],"dc:date.issued":["2010"],"dc:description":["Includes abstract.","Includes bibliographical references (leaves 52-58)."],"dc:description.abstract":["In this paper, we investigate the behaviour of the efficient frontier and optimal portfolio of the Troskie-Hossain Capital Asset Pricing Model (TrosHos CAPM) and Sharpe Capital Asset Pricing Model (Sharpe CAPM) when the covariance structure of the residuals is correlated under the Markowitz formulation. 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