Enhancements to the Markowitz mean-variance optimisation process of asset allocation

[The focus of this thesis is on the practical application of portfolio selection. It is a field that receives much attention, no more so than after the world market crashes (i.e. October 1997) which highlighted the importance of risk management. Consequently there is a need to examine the current tools in current use to create our portfolios and to look at ways in which they could be improved. The Bayesians have certainly contributed in this area, and more noticeably in the 1990's. We shall examine their contributions quite extensively in this thesis.

Grantor dc:publisher.institution

Division of Actuarial Science

Year dc:date.issued

1998

Author dc:creator

• McLeod, Warren

Advisor dc:contributor.advisor

• Bradfield, Dave

Language dc:language.iso

eng

Handle dc:identifier.uri

http://hdl.handle.net/11427/9687

OAI identifier oai:identifier

oai:open.uct.ac.za:11427/9687