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    The relative performance of single index versus multifactor models in determining the efficient frontier in Kenya

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    Full - text undergraduate research project (4.709Mb)
    Date
    2015-11
    Author
    Wanjiku, Nduati Michelle
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    Abstract
    Since the early 1950s models have been developed to aid wealth allocation in order to optimize returns. This study seeks to compare the relative performance of the single-index models and multifactor models in determining the optimal portfolio wealth allocation. The efficient frontier is determined through minimizing risk as measured by standard deviation while taking into account historical factor betas between 2001 and 2012. The study establishes that the single index model outperforms the multifactor model as it yields the highest Sharpe ratios. These findings can be attributed to the fact that the market model contains the characteristics of the macroeconomic variables in the single index model.
    URI
    http://hdl.handle.net/11071/4314
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    • BBSE Research projects (2016) [53]

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