Risk measures and portfolio optimization in the Kenyan stock market

Simple item page
dc.contributor.authorMasese, Josephine
dc.date.accessioned2021-05-13T09:10:58Z
dc.date.available2021-05-13T09:10:58Z
dc.date.issued2017
dc.descriptionPaper presented at the 4th Strathmore International Mathematics Conference (SIMC 2017), 19 - 23 June 2017, Strathmore University, Nairobi, Kenya.en_US
dc.description.abstractThis study seeks to establish optimal stock portfolios to be held by investors in The Nairobi Securities Exchange (NSE) from 1998 – 2016 using the Mean Variance and Threshold Accepting optimization mod- els.A comparison is done among the two models by measuring their performance using the following performance ratios: Sharpe Ratio, Sortino Ratio and Information Ratio. The Mean Variance model being a risk-reward model is compared against the Threshold Accepting model which is a general optimization model. The most appropriate model for the Kenyan stock market in portfolio selection is then considered. The study concludes that the Threshold Accepting model out performs the Mean Variance model but the latter is established as a more consistent model.en_US
dc.identifier.urihttp://hdl.handle.net/11071/11876
dc.language.isoenen_US
dc.publisherStrathmore Universityen_US
dc.subjectPortfolio optimizationen_US
dc.subjectMean-variance optimizationen_US
dc.subjectRisk measureen_US
dc.subjectThreshold Accepting (TA)en_US
dc.titleRisk measures and portfolio optimization in the Kenyan stock marketen_US
dc.typeArticleen_US

Files

Original bundle

Now showing 1 - 1 of 1
Thumbnail Image
Name:
Risk measures and portfolio optimization in the Kenyan stock market.pdf
Size:
144.06 KB
Format:
Adobe Portable Document Format
Description:
Abstract - SIMC Conference paper, 2017
Download

License bundle

Now showing 1 - 1 of 1
Thumbnail Image
Name:
license.txt
Size:
1.71 KB
Format:
Item-specific license agreed upon to submission
Description:
Download

Collections

SIMC 2017