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dc.contributor.authorWanjiku, Nduati Michelle
dc.date.accessioned2016-03-15T10:28:12Z
dc.date.available2016-03-15T10:28:12Z
dc.date.issued2015-11
dc.identifier.urihttp://hdl.handle.net/11071/4314
dc.descriptionSubmitted in partial fulfillment of the requirements for the Degree of Bachelor of Business Science in Financial Economics at Strathmore Universityen_US
dc.description.abstractSince 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.en_US
dc.language.isoenen_US
dc.publisherStrathmore Universityen_US
dc.subjectSingle index modelen_US
dc.subjectMultifactor modelen_US
dc.subjectCut off rateen_US
dc.subjectSharpe ratio and efficient frontieren_US
dc.titleThe relative performance of single index versus multifactor models in determining the efficient frontier in Kenyaen_US
dc.typeOtheren_US


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