A Study On Asset Pricing
| dc.contributor.advisor | Dr. Biman Chakraborty | |
| dc.contributor.author | ALIA MOHAMMED THAAR ALQAHTANI | |
| dc.date | 2000 | |
| dc.date.accessioned | 2022-05-28T18:55:50Z | |
| dc.date.available | 2022-05-28T18:55:50Z | |
| dc.degree.department | MSc Mathematics; Operational Research Statistics and Econometrics | |
| dc.degree.grantor | School of Mathematics | |
| dc.description.abstract | ABSTRACT The main purpose of this study is to study the methods of constructing an optimal portfolio by assets S1, ..., Sn. The classic models of the Markowitz and Fama-French models are taken as a basis model in this research. As an applied aspect of this work, the modeling of the securities portfolio is considered, based on data from the United Kingdom from 1988 to 2017. The model with four factors is taken as a basis because the five-factor model has the property of multicollinearity. The securities portfolio of five companies was taken as data and the share of each company in this portfolio was analysed. Due to the significant positive correlation between the businesses, it was discovered that the optimum portfolio is entirely comprised of shares of one company. | |
| dc.identifier.uri | https://drepo.sdl.edu.sa/handle/20.500.14154/39217 | |
| dc.language.iso | en | |
| dc.title | A Study On Asset Pricing | |
| sdl.thesis.level | Master | |
| sdl.thesis.source | SACM - United Kingdom |