An Empirical Assessment of Low Volatilty Portfolio Construction Techniques in the South African Environment
In: Journal for studies in economics and econometrics: SEE, Band 42, Heft 1, S. 41-62
ISSN: 0379-6205
8 Ergebnisse
Sortierung:
In: Journal for studies in economics and econometrics: SEE, Band 42, Heft 1, S. 41-62
ISSN: 0379-6205
In: Journal for studies in economics and econometrics: SEE, Band 40, Heft 2, S. 53-70
ISSN: 0379-6205
In: Journal for studies in economics and econometrics: SEE, Band 38, Heft 2, S. 33-46
ISSN: 0379-6205
In: Journal for studies in economics and econometrics: SEE, Band 26, Heft 2, S. 69-80
ISSN: 0379-6205
In: Journal for studies in economics and econometrics: SEE, Band 47, Heft 4, S. 408-423
ISSN: 0379-6205
In: Journal for studies in economics and econometrics: SEE, Band 25, Heft 2, S. 87-102
ISSN: 0379-6205
In: Journal for studies in economics and econometrics: SEE, Band 21, Heft 3, S. 67-78
ISSN: 0379-6205
This article focusses on portfolio construction in markets where legislation restricts investors from investing in international markets. An extended market model is implemented to additionally estimate a component of foreign market risk. In the first part of the article the decomposition of the risk of securities on the Johannesburg Stock Exchange (JSE) is empirically demonstrated. In the second part an automated portfolio construction methodology based on the resulting foreign risk estimates of the model is empirically tested on the JSE. The results confirm there is potential for improving the performance of existing 'international' funds on the JSE using more rigorous quantitative approaches such as the one proposed here.
BASE