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

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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
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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
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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
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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
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To…………………………………………………………………………… ……………………………………. .
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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
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ABSTRACT
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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
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This note was uploaded on 03/26/2012 for the course ACTUARIAL 306 taught by Professor Arthuringham during the Spring '12 term at Birmingham City University.

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

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