Accurate estimation of risk when constructing efficient portfolios for the capital asset pricing model

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. 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.

Grantor dc:publisher.institution

Division of Actuarial Science

Year dc:date.issued

2010

Author dc:creator

• Zwane, Samkelo Sifiso

Advisors dc:contributor.advisor

• Clark, Allan
• Troskie, Casper G

Language dc:language.iso

eng

Handle dc:identifier.uri

http://hdl.handle.net/11427/10729

OAI identifier oai:identifier

oai:open.uct.ac.za:11427/10729