Portfolio optimization model: the case of Uganda Securities Exchange (USE).
| dc.contributor.author | Mayanja, Fredrick | |
| dc.date.accessioned | 2020-02-20T09:05:43Z | |
| dc.date.available | 2020-02-20T09:05:43Z | |
| dc.date.issued | 2011 | |
| dc.description | Available in print form, East Africana Collection, Dr. Wilbert Chagula Library, Class mark (THS EAF HG4529.5.M39) | en_US |
| dc.description.sponsorship | In this dissertation we present the problem of portfolio optimization under investment, this area of investment is traced with works of Professor Markowitz way back in 1952. First, we develop unrestricted portfolio optimization model based on the classical Modern Portfolio Optimization (MPT) model, then we incorporate certain restrictions typical of the USE trading or investment environment and hence, develop the modified restricted model. Determination of the model parameters and model development was all done using Excel spread sheets. We explicitly went through the mathematics of the solution methods for both models. Validation of the models is done using the USE stocks daily trading data, in which case we use a sample of 6 stocks out of the 13 stocks listed at the USE. To start with, we proved that USE stocks log returns are normally distributed. Data analysis results showed that our modified (restricted) model is valid as the solutions were all consistent with the theoretical foundations of the classical MPT-model. To make the model more useful, accurate, easy to apply and robust we programmed the model using Visual Basic for Applications (VBA). We therefore recommend that before applying investment models such as the MPT, model modifications must be made so as to adapt them to particular investment environments. Moreover, to make them useful so as to serve the intended purpose the models should be programmed so as to make implementation less cumbersome. | en_US |
| dc.identifier.citation | Mayanja, F. (2011). Portfolio optimization model: the case of Uganda Securities Exchange (USE). Master dissertation, University of Dar es Salaam. | en_US |
| dc.identifier.uri | http://41.86.178.5:8080/xmlui/handle/123456789/7253 | |
| dc.language.iso | en | en_US |
| dc.publisher | University of Dar es Salaam | en_US |
| dc.subject | Portfolio optimization model | en_US |
| dc.subject | Portfolio Management | en_US |
| dc.subject | Portfolio selection | en_US |
| dc.subject | Uganda Securities Exchange (USE) | en_US |
| dc.subject | Uganda | en_US |
| dc.title | Portfolio optimization model: the case of Uganda Securities Exchange (USE). | en_US |
| dc.type | Thesis | en_US |