Portfolio construction using index regression models
Includes bibliographical references (leaves 130-130). === In this dissertation we review the Sharpe Index Model and an innovation on this model introduced by Hossain, Troskie and Guo (2005b). These models are extended to the multi index framework. We then empirically investigate the impact of the mo...
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| Format: | Dissertation |
| Language: | English |
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University of Cape Town
2014
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| Online Access: | http://hdl.handle.net/11427/4933 |