{[ promptMessage ]}

Bookmark it

{[ promptMessage ]}

mailatt - Abstract to of a page Literature review(2 to 5...

Info icon This preview shows pages 1–9. Sign up to view the full content.

View Full Document Right Arrow Icon
Abstract ½ to ¾ of a page Literature review (2 to 5 pages) Methodology Analysis Conclusions in relation to objectives Recommendations Overall report between 40 to100 pages
Image of page 1

Info icon This preview has intentionally blurred sections. Sign up to view the full version.

View Full Document Right Arrow Icon
UNIVERSITY OF NAIROBI SCHOOL OF MATHEMATICS USING P/E RATIOS AND MARKOWITZ DIVERSIFICATION AS THE BUILDING BLOCKS FOR STATISTICAL ARBITRAGE SAC 420: PROJECT IN BSc. ACTUARIAL SCIENCE SUBMITTED BY: CAROLINE MUMBI I07/………. DENIS MOKAYA I07/………….. BYRON W. OGUTU I07/2247/2007 ANGELA KELLY SUPERVOSOR: DR. JOSEPH MWANIKI IVIVI Submitted in partial fulfillment of the requirements for the Degree of the Bachelor of Science in Actuarial
Image of page 2
DECLARATION This project is our original work and has never been presented for a degree in any other university for examination CANDIDATES: Signature………………….. Date……………….. Caroline Mumbi (I07/………) Signature…………………. Date……………….. Denis Mokaya (I07/……….) Signature……………….. Date………………… Byron W. Ogutu (I07/2247/2007) SUPERVISOR: This project has been submitted for examination with my approval as supervisor. Signature……………… Date………… Dr. Joseph Mwaniki Iviv
Image of page 3

Info icon This preview has intentionally blurred sections. Sign up to view the full version.

View Full Document Right Arrow Icon
ACKNOWLEDGEMENT First and foremost, we would like to the Almighty God for giving us knowledge, strength and wisdom to undertake this project. We cannot fully express our gratitude to the incomparable Dr. Mwaniki, our supervisor, for his generosity, faith and superb guidance throughout our research. For their support and unwavering assistance, we would like to acknowledge the Nairobi Stock Exchange, the Macmillan Public Library and the National Archives. We would be remiss if we did not mention our family members. It is their moral support and encouragement that spurred us on whenever we felt fatigued. And for that we will be eternally grateful. Last but not least, to ourselves for our tireless efforts and teamwork that saw us through the entire period
Image of page 4
To…………………………………………………………………………… ……………………………………..
Image of page 5

Info icon This preview has intentionally blurred sections. Sign up to view the full version.

View Full Document Right Arrow Icon
TABLE OF CONTENTS ABSTRACT 1.0 INTRODUCTION 1.1 Background information 1.2 Problem statement 1.3 Objectives of the study 1.4 Significance of the study 2.0 LITERATURE REVIEW 2.1 P/E ratios 2.2 Markowitz diversification and tangent portfolios 2.3 Statistical arbitrage 3.0 METHODOLOGY 3.1 Data base and sample selection criteria 3.2 Division of stocks into P/E groups 3.3 Markowitz Diversification and Tangent Portfolios 3.4 Formation of Zero Beta Portfolios 3.5 Performance Ratios 3.5 Tests of Hypothesis 3.6 Stastical arbitrage 4.0 DATA ANALYSIS AND EMPIRICAL RESULTS 5.0 CONCLUSION, LIMITATIONS AND RECOMMENDATION 5.1Conclusion 5.2 Limitations 5.3 Recommendation BIBLIOGRAPHY APPENDICES
Image of page 6
ABSTRACT
Image of page 7

Info icon This preview has intentionally blurred sections. Sign up to view the full version.

View Full Document Right Arrow Icon
1 INTRODUCTION 1.1 Background Information In an efficient capital market, security prices fully reflect available information in a rapid and unbiased fashion and thus provide unbiased estimates of the underlying values. While there is substantial empirical
Image of page 8
Image of page 9
This is the end of the preview. Sign up to access the rest of the document.

{[ snackBarMessage ]}

What students are saying

  • Left Quote Icon

    As a current student on this bumpy collegiate pathway, I stumbled upon Course Hero, where I can find study resources for nearly all my courses, get online help from tutors 24/7, and even share my old projects, papers, and lecture notes with other students.

    Student Picture

    Kiran Temple University Fox School of Business ‘17, Course Hero Intern

  • Left Quote Icon

    I cannot even describe how much Course Hero helped me this summer. It’s truly become something I can always rely on and help me. In the end, I was not only able to survive summer classes, but I was able to thrive thanks to Course Hero.

    Student Picture

    Dana University of Pennsylvania ‘17, Course Hero Intern

  • Left Quote Icon

    The ability to access any university’s resources through Course Hero proved invaluable in my case. I was behind on Tulane coursework and actually used UCLA’s materials to help me move forward and get everything together on time.

    Student Picture

    Jill Tulane University ‘16, Course Hero Intern