Modern portfolio optimization using robust estimation techniques
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 t...
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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/11427/4943 |