Modern portfolio optimization using robust estimation techniques

• Main Author: Van Straaten, Conrad
• Other Authors: Troskie, Casper G
• Format: Dissertation
• Language: English
• Published: University of Cape Town 2014
• Subjects: Financial Mathematics
• Online Access: http://hdl.handle.net/11427/4943

Includes bibliographical references. === Rather than following a normal distribution, share returns and market proxies have been shown to follow skewed distributions, with long tails in some cases. In this dissertation various robust estimation techniques are investigated in an attempt to minimise the influence that outliers may have on the estimation and to better estimate the input parameters for the Markowitz and Sharpe portfolio models. The main goal is to ascertain whether or not the input parameters determined, using the robust procedures, yield better results than the Ordinary Least Squares (OLS) procedure.