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    A comparison of Mean - variance and mean - semi variance optimization on the Nairobi Stock Exchange.pdf

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    Full - text undergraduate research project (1.735Mb)
    Date
    2015-11
    Author
    Wasi, Mwabaya Fahari
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    Abstract
    The main objectives of this paper were to measure and compare the portfolio performance of portfolios weighted through the mean variance and semi variance approach in the Kenyan context and to compare portfolio performance in terms of return between portfolios weighted using a Geometric Mean Variance Frontier Approach V s Semi Variance Approach. Equities used were from broad sectors of the NSE: Agricultural, Financial, Commercial and Services and Industrial. Based on the empirical results, there is no significant advantage in using semi variance as a risk measure as compared to variance in optimization. This is because the equity returns in the Nairobi Stock Exchange follow a normal probability distribution. The geometric mean variance returns are also compared to the semi variance optimization methods and results show they statistically approximate each other. Key limitations for the study that NSE duration used may have been a unique case for a normal distribution. Further research needs to be done to ascertain whether the geometric mean variance optimization approximates the semi variance approach.
    URI
    http://hdl.handle.net/11071/4398
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    • BBSA Research Projects (2016) [26]

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