The asset allocation decision in managing the portfolios of small individual investors
- Authors: Du Bruyn, Gabriël Reinhold
- Date: 2011-12-06
- Subjects: Asset allocation , Investment analysis , Portfolio management , Risk
- Type: Mini-Dissertation
- Identifier: uj:1814 , http://hdl.handle.net/10210/4176
- Description: M.Comm.
- Full Text:
- Authors: Du Bruyn, Gabriël Reinhold
- Date: 2011-12-06
- Subjects: Asset allocation , Investment analysis , Portfolio management , Risk
- Type: Mini-Dissertation
- Identifier: uj:1814 , http://hdl.handle.net/10210/4176
- Description: M.Comm.
- Full Text:
Suitability of using technical indicators as potential strategies within intelligent trading systems
- Hurwitz, Evan, Marwala, Tshilidzi
- Authors: Hurwitz, Evan , Marwala, Tshilidzi
- Date: 2012
- Subjects: Portfolio management , Machine learning , Intelligent trading systems
- Type: Article
- Identifier: uj:6280 , ISSN 978-1-4673-1713-9 , http://hdl.handle.net/10210/9883
- Description: The potential of machine learning to automate and control nonlinear, complex systems is well established. These same techniques have always presented potential for use in the investment arena, specifically for the managing of equity portfolios. In this paper, the opportunity for such exploitation is investigated through analysis of potential simple trading strategies that can then be meshed together for the machine learning system to switch between. It is the eligibility of these strategies that is being investigated in this paper, rather than application. In order to accomplish this, the underlying assumptions of each trading system are explored, and data is created in order to evaluate the efficacy of these systems when trading on data with the underlying patterns that they expect. The strategies are tested against a buy-and-hold strategy to determine if the act of trading has actually produced any worthwhile results, or are simply facets of the underlying prices. These results are then used to produce targeted returns based upon either a desired return or a desired risk, as both are required within the portfolio-management industry. Results show a very viable opportunity for exploitation within the aforementioned industry, with the Strategies performing well within their narrow assumptions, and the intelligent system combining them to perform without assumptions.
- Full Text:
Suitability of using technical indicators as potential strategies within intelligent trading systems
- Authors: Hurwitz, Evan , Marwala, Tshilidzi
- Date: 2012
- Subjects: Portfolio management , Machine learning , Intelligent trading systems
- Type: Article
- Identifier: uj:6280 , ISSN 978-1-4673-1713-9 , http://hdl.handle.net/10210/9883
- Description: The potential of machine learning to automate and control nonlinear, complex systems is well established. These same techniques have always presented potential for use in the investment arena, specifically for the managing of equity portfolios. In this paper, the opportunity for such exploitation is investigated through analysis of potential simple trading strategies that can then be meshed together for the machine learning system to switch between. It is the eligibility of these strategies that is being investigated in this paper, rather than application. In order to accomplish this, the underlying assumptions of each trading system are explored, and data is created in order to evaluate the efficacy of these systems when trading on data with the underlying patterns that they expect. The strategies are tested against a buy-and-hold strategy to determine if the act of trading has actually produced any worthwhile results, or are simply facets of the underlying prices. These results are then used to produce targeted returns based upon either a desired return or a desired risk, as both are required within the portfolio-management industry. Results show a very viable opportunity for exploitation within the aforementioned industry, with the Strategies performing well within their narrow assumptions, and the intelligent system combining them to perform without assumptions.
- Full Text:
The qualitative assessment of an asset management company by a wrap fund manager
- Authors: Howell, Nicolaas P.J.
- Date: 2012-01-25
- Subjects: Investment advisors , Wrap accounts , Mutual Funds , Portfolio management , Investment management
- Type: Mini-Dissertation
- Identifier: uj:1956 , http://hdl.handle.net/10210/4314
- Description: M.Comm.
- Full Text:
- Authors: Howell, Nicolaas P.J.
- Date: 2012-01-25
- Subjects: Investment advisors , Wrap accounts , Mutual Funds , Portfolio management , Investment management
- Type: Mini-Dissertation
- Identifier: uj:1956 , http://hdl.handle.net/10210/4314
- Description: M.Comm.
- Full Text:
Saamgestelde portefeuljes : 'n kritiese risikometings- en evalueringsmodel
- Authors: Goosen, Eugene
- Date: 2012-08-28
- Subjects: Risk assessment , Pricing , Portfolio management
- Type: Thesis
- Identifier: uj:3352 , http://hdl.handle.net/10210/6752
- Description: M.Comm. , ffntroduction Measuring and evaluating risks are essential in a dynamic derivative market to minimize risks. The management of risks in the derivative market is complex due to the non-linear properties of option pricing Method of study The a first step of the study analyzed the "greek" derivatives of a single option contract (e.g. delta, gamma, vega, theta). The next step was to combine and analyze the derivatives of various option contracts. The study pointed out that the risk profile can be amended by combining option contracts. A risk measurement and evaluation model was constructed by creating a table that will simulate option prices at different time horizons and at different market prices. The model will also simulate all the derivatives of options in a table form at different time horizons and at different market prices. The model finally used the tables to reflect the results graphically. Findings The last section of the study was devoted to scenario simulation to identify risks. Firstly the management of the delta was analyzed, and the use of the gamma to identify delta sensitivity was illustrated. The management of the vega was addressed next. The study showed that a combination of options can minimize the risk of vega. The effect of theta or the time value of a option was illustrated and linked to both gamma and vega. The study demonstrated that the results of volatile movements in the market can be simulated by combining the derivatives of options (e.g. add the deltas of options together), and to stress test the strategy. "What if' scenarios can be simulated to illustrate the effect on a current position combined with some amendments.
- Full Text:
- Authors: Goosen, Eugene
- Date: 2012-08-28
- Subjects: Risk assessment , Pricing , Portfolio management
- Type: Thesis
- Identifier: uj:3352 , http://hdl.handle.net/10210/6752
- Description: M.Comm. , ffntroduction Measuring and evaluating risks are essential in a dynamic derivative market to minimize risks. The management of risks in the derivative market is complex due to the non-linear properties of option pricing Method of study The a first step of the study analyzed the "greek" derivatives of a single option contract (e.g. delta, gamma, vega, theta). The next step was to combine and analyze the derivatives of various option contracts. The study pointed out that the risk profile can be amended by combining option contracts. A risk measurement and evaluation model was constructed by creating a table that will simulate option prices at different time horizons and at different market prices. The model will also simulate all the derivatives of options in a table form at different time horizons and at different market prices. The model finally used the tables to reflect the results graphically. Findings The last section of the study was devoted to scenario simulation to identify risks. Firstly the management of the delta was analyzed, and the use of the gamma to identify delta sensitivity was illustrated. The management of the vega was addressed next. The study showed that a combination of options can minimize the risk of vega. The effect of theta or the time value of a option was illustrated and linked to both gamma and vega. The study demonstrated that the results of volatile movements in the market can be simulated by combining the derivatives of options (e.g. add the deltas of options together), and to stress test the strategy. "What if' scenarios can be simulated to illustrate the effect on a current position combined with some amendments.
- Full Text:
Aspects of capital allocation
- Authors: Sonnekus, Hélène
- Date: 2013-07-29
- Subjects: Financial risk management , Asset allocation , Risk - Measurement , Portfolio management
- Type: Thesis
- Identifier: uj:7703 , http://hdl.handle.net/10210/8569
- Description: M.Sc. (Statistics) , Most people in the world rely on a well-functioning and stable financial system. Problems experienced by financial institutions, such as too little liquidity or large amounts of bad debt, can easily influence companies and individuals, creating a chain reaction comparable to an avalanche. Financial institutions are faced with a very difficult constrained optimization problem - generating as much profit as possible while staying in business by limiting the amount of risk taken.
- Full Text:
- Authors: Sonnekus, Hélène
- Date: 2013-07-29
- Subjects: Financial risk management , Asset allocation , Risk - Measurement , Portfolio management
- Type: Thesis
- Identifier: uj:7703 , http://hdl.handle.net/10210/8569
- Description: M.Sc. (Statistics) , Most people in the world rely on a well-functioning and stable financial system. Problems experienced by financial institutions, such as too little liquidity or large amounts of bad debt, can easily influence companies and individuals, creating a chain reaction comparable to an avalanche. Financial institutions are faced with a very difficult constrained optimization problem - generating as much profit as possible while staying in business by limiting the amount of risk taken.
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An optimised portfolio management model, incorporating best practices
- Authors: Naidoo, Yogan
- Date: 2015-06-29
- Subjects: Organizational effectiveness , Portfolio management , Strategic planning , Rate of return , Engineering - Management
- Type: Thesis
- Identifier: uj:13646 , http://hdl.handle.net/10210/13830
- Description: M.Ing. (Engineering Management) , Driving sustainability, optimising return on investments and cultivating a competitive market advantage, are imperative for organisational success and growth. In order to achieve the business objectives and value proposition, effective management strategies must be efficiently implemented, monitored and controlled. Failure to do so ultimately result in; financial loss due to increased capital and operational expenditure, schedule slippages, substandard delivery on quality and depreciation of market share. This research paper investigates and discusses management strategies with the focus on integration of effective portfolio management, efficient system development life cycles and optimal project control to ultimately drive organisational sustainability and growth. With the aid of this research, optimal decisions on project/organisational venture selection can be made. Furthermore, integrating portfolio management strategies with system development life cycles and optimal project control strategies, will optimise an organisational portfolio and enhance the probability of project and organisational success.
- Full Text:
- Authors: Naidoo, Yogan
- Date: 2015-06-29
- Subjects: Organizational effectiveness , Portfolio management , Strategic planning , Rate of return , Engineering - Management
- Type: Thesis
- Identifier: uj:13646 , http://hdl.handle.net/10210/13830
- Description: M.Ing. (Engineering Management) , Driving sustainability, optimising return on investments and cultivating a competitive market advantage, are imperative for organisational success and growth. In order to achieve the business objectives and value proposition, effective management strategies must be efficiently implemented, monitored and controlled. Failure to do so ultimately result in; financial loss due to increased capital and operational expenditure, schedule slippages, substandard delivery on quality and depreciation of market share. This research paper investigates and discusses management strategies with the focus on integration of effective portfolio management, efficient system development life cycles and optimal project control to ultimately drive organisational sustainability and growth. With the aid of this research, optimal decisions on project/organisational venture selection can be made. Furthermore, integrating portfolio management strategies with system development life cycles and optimal project control strategies, will optimise an organisational portfolio and enhance the probability of project and organisational success.
- Full Text:
Dynamic portfolio insurance and tactical asset allocation on the JSE
- Authors: Mngomezulu, Zwelakhe Sizwe
- Date: 2016
- Subjects: Portfolio management , Asset allocation , Financial risk management , Options (Finance) - Prices - Mathematical models
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/245956 , uj:25487
- Description: M.Com. (Financial Economics) , Abstract: The pressing question on the minds of academics and investment professionals is whether portfolio managers can evidently protect investors’ capital during a period of economic downturn and provide superior returns with a minimum level of risk. This study attempts to answer this question by evaluating the performance of portfolio insurance methods using different asset classes traded on the local Johannesburg Stock Exchange and other global markets. The chosen data period for evaluation starts from 02 June 2004 to 31 December 2013. The study compares insured portfolios (made up of two methods: the Option-Based Portfolio Insurance and the Constant Proportion Portfolio Insurance) with uninsured portfolios made of these asset classes in order to demonstrate the benefit of portfolio insurance in protecting investors’ capital during both bull and bear markets. The study makes use of different asset allocation approaches including buy and hold, risk parity, minimum variance, and momentum in order to build an optimal uninsured portfolio. The results of the study show that the minimum variance approach of the Constant Proportion Portfolio Insurance strategy with a static multiplier of m=2 consistently outperforms uninsured and the Option-Based Portfolio Insurance portfolios. It is argued that this outperformance might be due to holding risky assets with lower volatility. Furthermore, when a dynamic multiplier is used, it was found that the risk parity approach for the Constant Proportion Portfolio Insurance results in the best-performing asset allocation method due to its lower downside deviation, higher Calmar ratio and fewer months to recover from a maximum drawdown. Both the static and dynamic Constant Proportion Portfolio Insurance strategy methods provided 100% protection of investors’ capital even during the 2008-2009 Global Financial Crisis. In contrast with the Constant Proportion Portfolio Insurance strategy, it was found that an Option-Based Portfolio Insurance strategy with the buy and hold asset allocation approach fails to provide maximum protection for investors’ capital during periods of financial crises, since it lost 9, 45% in 2008. Hence, the Option-Based Portfolio Insurance portfolios (insured) with a buy and hold approach underperform uninsured portfolios.
- Full Text:
- Authors: Mngomezulu, Zwelakhe Sizwe
- Date: 2016
- Subjects: Portfolio management , Asset allocation , Financial risk management , Options (Finance) - Prices - Mathematical models
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/245956 , uj:25487
- Description: M.Com. (Financial Economics) , Abstract: The pressing question on the minds of academics and investment professionals is whether portfolio managers can evidently protect investors’ capital during a period of economic downturn and provide superior returns with a minimum level of risk. This study attempts to answer this question by evaluating the performance of portfolio insurance methods using different asset classes traded on the local Johannesburg Stock Exchange and other global markets. The chosen data period for evaluation starts from 02 June 2004 to 31 December 2013. The study compares insured portfolios (made up of two methods: the Option-Based Portfolio Insurance and the Constant Proportion Portfolio Insurance) with uninsured portfolios made of these asset classes in order to demonstrate the benefit of portfolio insurance in protecting investors’ capital during both bull and bear markets. The study makes use of different asset allocation approaches including buy and hold, risk parity, minimum variance, and momentum in order to build an optimal uninsured portfolio. The results of the study show that the minimum variance approach of the Constant Proportion Portfolio Insurance strategy with a static multiplier of m=2 consistently outperforms uninsured and the Option-Based Portfolio Insurance portfolios. It is argued that this outperformance might be due to holding risky assets with lower volatility. Furthermore, when a dynamic multiplier is used, it was found that the risk parity approach for the Constant Proportion Portfolio Insurance results in the best-performing asset allocation method due to its lower downside deviation, higher Calmar ratio and fewer months to recover from a maximum drawdown. Both the static and dynamic Constant Proportion Portfolio Insurance strategy methods provided 100% protection of investors’ capital even during the 2008-2009 Global Financial Crisis. In contrast with the Constant Proportion Portfolio Insurance strategy, it was found that an Option-Based Portfolio Insurance strategy with the buy and hold asset allocation approach fails to provide maximum protection for investors’ capital during periods of financial crises, since it lost 9, 45% in 2008. Hence, the Option-Based Portfolio Insurance portfolios (insured) with a buy and hold approach underperform uninsured portfolios.
- Full Text:
Financialisation of professional athletes as an alternative investment asset class
- Authors: Oberholzer, David Johannes
- Date: 2016
- Subjects: Investments , Portfolio management , Asset allocation
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/237215 , uj:24302
- Description: M.Com. (Investment Management) , Abstract: This study explores the possibility of the financialisation of professional athletes as a viable investment vehicle. The study commences with an in-depth literature review. The literature review is conducted with two separate objectives that are to be met. The first objective, in Chapter two, investigates the relevant literature surrounding alternative asset classes. The second objective, in Chapter three, investigates whether any existing valuation models exist for professional athletes. The exploration of the first objective attempted to establish the feasibility of including the newly conceptualised asset class within the realm of alternative assets. The investigation found that no limitations exist to the inclusion of new asset classes to the field of alternative assets. The second literature exploration was aimed at establishing, whether or not, existing literature can provide guidance to establish a valuation model. The literature was found to be very limited and allowed for researcher discretion in the Conceptualised Index Model. The Conceptualised Index Model attempted to value professional cricket players that participated in the 2015 Indian Premier League tournament. The study utilised an index model due to the advantages described by Tang and Xiong (2012). The advantages include the ability to compare different variables with each other. The use of an index model is further beneficial as Gomez and Korine (2008) states that indices ease the process of financialisation and liquidity. The study found that it is possible to value the chosen professional athletes relative to each other through the use of the Conceptualised Index Model.
- Full Text:
- Authors: Oberholzer, David Johannes
- Date: 2016
- Subjects: Investments , Portfolio management , Asset allocation
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/237215 , uj:24302
- Description: M.Com. (Investment Management) , Abstract: This study explores the possibility of the financialisation of professional athletes as a viable investment vehicle. The study commences with an in-depth literature review. The literature review is conducted with two separate objectives that are to be met. The first objective, in Chapter two, investigates the relevant literature surrounding alternative asset classes. The second objective, in Chapter three, investigates whether any existing valuation models exist for professional athletes. The exploration of the first objective attempted to establish the feasibility of including the newly conceptualised asset class within the realm of alternative assets. The investigation found that no limitations exist to the inclusion of new asset classes to the field of alternative assets. The second literature exploration was aimed at establishing, whether or not, existing literature can provide guidance to establish a valuation model. The literature was found to be very limited and allowed for researcher discretion in the Conceptualised Index Model. The Conceptualised Index Model attempted to value professional cricket players that participated in the 2015 Indian Premier League tournament. The study utilised an index model due to the advantages described by Tang and Xiong (2012). The advantages include the ability to compare different variables with each other. The use of an index model is further beneficial as Gomez and Korine (2008) states that indices ease the process of financialisation and liquidity. The study found that it is possible to value the chosen professional athletes relative to each other through the use of the Conceptualised Index Model.
- Full Text:
International bond market portfolio diversification in an emerging financial market
- Authors: Ghirdari, Enrico
- Date: 2016
- Subjects: Investments , Capital market , Portfolio management , Bond market , Cointegration , Diversification in industry
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/124201 , uj:20887
- Description: Abstract: The increase in globalisation of financial markets has given rise to increased integration of developed financial markets. As a result, portfolio managers are finding it increasingly difficult to diversify their portfolios across developed bond markets. Examination of existing literature suggests that using emerging financial markets as an alternative investment destination may be beneficial for a portfolio manager. However, research shows that there is limited academic research focusing on international bond portfolio diversification from the viewpoint of a South African investor using emerging financial markets. The study examines cointegration between the South African bond market and selected emerging markets: Brazil, Russia, India and China, for the period January 2006 to February 2016. The Johansen test of cointegration and vector autoregressive (VAR) methodology was used. Overall results confirmed that there was no cointegration present among these bond markets and thus a South African portfolio manager can use these selected emerging markets for portfolio diversification and risk reduction purposes. In addition, results proved that international bond market diversification is beneficial for a South African portfolio manager and since international bond market linkages have remained weak with no observable trend, international bond market diversification will remain beneficial for South African investors in the future. , M.Com. (Financial Management)
- Full Text:
- Authors: Ghirdari, Enrico
- Date: 2016
- Subjects: Investments , Capital market , Portfolio management , Bond market , Cointegration , Diversification in industry
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/124201 , uj:20887
- Description: Abstract: The increase in globalisation of financial markets has given rise to increased integration of developed financial markets. As a result, portfolio managers are finding it increasingly difficult to diversify their portfolios across developed bond markets. Examination of existing literature suggests that using emerging financial markets as an alternative investment destination may be beneficial for a portfolio manager. However, research shows that there is limited academic research focusing on international bond portfolio diversification from the viewpoint of a South African investor using emerging financial markets. The study examines cointegration between the South African bond market and selected emerging markets: Brazil, Russia, India and China, for the period January 2006 to February 2016. The Johansen test of cointegration and vector autoregressive (VAR) methodology was used. Overall results confirmed that there was no cointegration present among these bond markets and thus a South African portfolio manager can use these selected emerging markets for portfolio diversification and risk reduction purposes. In addition, results proved that international bond market diversification is beneficial for a South African portfolio manager and since international bond market linkages have remained weak with no observable trend, international bond market diversification will remain beneficial for South African investors in the future. , M.Com. (Financial Management)
- Full Text:
Risk-based asset allocation : a forward looking approach
- Mantshimuli, Lamukanyani Alson
- Authors: Mantshimuli, Lamukanyani Alson
- Date: 2016
- Subjects: Asset allocation , Financial crises , Portfolio management , Financial risk
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/237248 , uj:24306
- Description: M.Com. (Financial Economics) , Abstract: The portfolio allocation problem is characterised by two factors; risk and expected return. This is mainly explained by the Markowitz (1952) mean-variance framework. The frequency and severity of recent financial crises has led to an increase in calls for improved asset allocation methods in the asset management industry. Asset allocation strategies should protect investor capital and result in higher relative returns in turbulent times. Modern portfolio theory has been heavily criticised (Lee, 2011; Roncalli, 2013) for failure to provide adequate diversification to protect fund managers during crises, hence the emergence of risk-based asset allocation methods that focus on portfolio construction based on risk and diversification. The crises led to poor performance of different portfolios and funds, especially those with high exposure to equities. Risk-based allocation methods try to achieve investors’ goals of safety and higher returns, irrespective of future market behaviour. Six risk-based asset allocation strategies were explored and contrasted; Equally weighted, Risk parity, Most Diversified, Minimum Correlation, Minimum variance and the Minimum CVaR portfolio. This was done in an effort to find the method which performs better when investors have different investment goals. Predicted risk measures were applied as inputs in these risk-based asset allocation methods (i.e. a forward looking approach was taken). The study focused on comparisons of the risk-based asset allocation methods using forwardlooking risk measures in the South African market. The main results of the study include the finding that risk-based asset allocation methods are effective in protecting investors’ capital and achieve higher returns than the market portfolio during crisis periods compared to other periods as expected. It was also found that the Minimum Correlation Portfolio performed better than all other risk-based asset allocation during the crisis period, which means it is the best risk-based asset allocation method to use during crisis periods in the South African market . There has not been a lot of studies on the perfomance of the Minimum Correlation Portfolio, and this result shows the need for a comprehensive study on all risk-based asset allocation methods in different countries/regions to determine which risk-based asset allocation technique is best for different regions.
- Full Text:
- Authors: Mantshimuli, Lamukanyani Alson
- Date: 2016
- Subjects: Asset allocation , Financial crises , Portfolio management , Financial risk
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/237248 , uj:24306
- Description: M.Com. (Financial Economics) , Abstract: The portfolio allocation problem is characterised by two factors; risk and expected return. This is mainly explained by the Markowitz (1952) mean-variance framework. The frequency and severity of recent financial crises has led to an increase in calls for improved asset allocation methods in the asset management industry. Asset allocation strategies should protect investor capital and result in higher relative returns in turbulent times. Modern portfolio theory has been heavily criticised (Lee, 2011; Roncalli, 2013) for failure to provide adequate diversification to protect fund managers during crises, hence the emergence of risk-based asset allocation methods that focus on portfolio construction based on risk and diversification. The crises led to poor performance of different portfolios and funds, especially those with high exposure to equities. Risk-based allocation methods try to achieve investors’ goals of safety and higher returns, irrespective of future market behaviour. Six risk-based asset allocation strategies were explored and contrasted; Equally weighted, Risk parity, Most Diversified, Minimum Correlation, Minimum variance and the Minimum CVaR portfolio. This was done in an effort to find the method which performs better when investors have different investment goals. Predicted risk measures were applied as inputs in these risk-based asset allocation methods (i.e. a forward looking approach was taken). The study focused on comparisons of the risk-based asset allocation methods using forwardlooking risk measures in the South African market. The main results of the study include the finding that risk-based asset allocation methods are effective in protecting investors’ capital and achieve higher returns than the market portfolio during crisis periods compared to other periods as expected. It was also found that the Minimum Correlation Portfolio performed better than all other risk-based asset allocation during the crisis period, which means it is the best risk-based asset allocation method to use during crisis periods in the South African market . There has not been a lot of studies on the perfomance of the Minimum Correlation Portfolio, and this result shows the need for a comprehensive study on all risk-based asset allocation methods in different countries/regions to determine which risk-based asset allocation technique is best for different regions.
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Impact of systemic risk measure on portfolio diversification : evidence from the JSE Limited
- Authors: Kitenge, Kipupi
- Date: 2019
- Subjects: Foreign exchange rates , Risk management , Portfolio management , Diversification in industry , JSE Limited
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/456838 , uj:40484
- Description: Abstract: This study develops a framework for the diversification of a domestic portfolio exposed to systemic risk within a common financial market. The developed framework intends to examine the optimal allocation problem and the investors’ risk tolerance in two financial market uncertainty regimes obtained from the systemic risk measure. To this end, the study makes use of the Conditional Value at Risk (CVaR) based on the Extreme Value Theory (EVT) and the Generalized Autoregressive Heteroscedasticity (GARCH) model. The CVaR is thereafter used to create two sub-portfolios; i.e., the Adverse Returns Portfolio (ARP) and the Favorable Returns Portfolio (FRP). The ARP1 and the FRP2 represent the set of portfolio returns observed during a financial crisis due to systemic risk, and during normal financial market period respectively. A quadratic Mean-Variance portfolio optimization problem is then applied to these two types of portfolio returns in order to identify investment allocations and performances during financial crisis resulting from a systemic risk and during normal financial market period. Using a sample of daily log return series of nine Johannesburg Stock Exchange (JSE) sector indices; the findings of this study show that JSE sectors that are positively correlated with the benchmark index (All-Share Index: ALSI) tend to contribute more in maximizing the ARP while the sectors that are negatively correlated with the ALSI tend to maximize the FRP. Investors who are aware of the behavior of these two portfolios can protect their investment capital during financial crisis resulting from a systemic risk. Furthermore, the study finds that the efficient ARP has better performance measures than the benchmark. However, the inverse is true for the FRP. These findings are consistent with different levels of risk aversion considered in this study. , M.Com. (Financial Economics)
- Full Text:
- Authors: Kitenge, Kipupi
- Date: 2019
- Subjects: Foreign exchange rates , Risk management , Portfolio management , Diversification in industry , JSE Limited
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/456838 , uj:40484
- Description: Abstract: This study develops a framework for the diversification of a domestic portfolio exposed to systemic risk within a common financial market. The developed framework intends to examine the optimal allocation problem and the investors’ risk tolerance in two financial market uncertainty regimes obtained from the systemic risk measure. To this end, the study makes use of the Conditional Value at Risk (CVaR) based on the Extreme Value Theory (EVT) and the Generalized Autoregressive Heteroscedasticity (GARCH) model. The CVaR is thereafter used to create two sub-portfolios; i.e., the Adverse Returns Portfolio (ARP) and the Favorable Returns Portfolio (FRP). The ARP1 and the FRP2 represent the set of portfolio returns observed during a financial crisis due to systemic risk, and during normal financial market period respectively. A quadratic Mean-Variance portfolio optimization problem is then applied to these two types of portfolio returns in order to identify investment allocations and performances during financial crisis resulting from a systemic risk and during normal financial market period. Using a sample of daily log return series of nine Johannesburg Stock Exchange (JSE) sector indices; the findings of this study show that JSE sectors that are positively correlated with the benchmark index (All-Share Index: ALSI) tend to contribute more in maximizing the ARP while the sectors that are negatively correlated with the ALSI tend to maximize the FRP. Investors who are aware of the behavior of these two portfolios can protect their investment capital during financial crisis resulting from a systemic risk. Furthermore, the study finds that the efficient ARP has better performance measures than the benchmark. However, the inverse is true for the FRP. These findings are consistent with different levels of risk aversion considered in this study. , M.Com. (Financial Economics)
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Linear predictor of discounted aggregated cash flows with dependent inter-occurrence time
- Authors: Shipalana, Peace Victory
- Date: 2019
- Subjects: Finance - Mathematical models , Accounting - Mathematical models , Copulas (Mathematical statistics) , Portfolio management
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/403013 , uj:33751
- Description: Abstract : In this minor dissertation we derive the first two moments and a linear predictor of the compound discounted renewal aggregate cash flows when taking into account dependence within the inter-occurrence times. To illustrate our results, we use specific mixtures of exponential distributions to define the Archimedean copula, the dependence structure between the cash flow inter-occurrence times. The Ho-Lee interest rate model is used to show that the formulas derived can be calculated. , M.Com. (Financial Economics)
- Full Text:
- Authors: Shipalana, Peace Victory
- Date: 2019
- Subjects: Finance - Mathematical models , Accounting - Mathematical models , Copulas (Mathematical statistics) , Portfolio management
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/403013 , uj:33751
- Description: Abstract : In this minor dissertation we derive the first two moments and a linear predictor of the compound discounted renewal aggregate cash flows when taking into account dependence within the inter-occurrence times. To illustrate our results, we use specific mixtures of exponential distributions to define the Archimedean copula, the dependence structure between the cash flow inter-occurrence times. The Ho-Lee interest rate model is used to show that the formulas derived can be calculated. , M.Com. (Financial Economics)
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Perceived characteristics of security analysts : a market participant’s perspective
- Authors: Marynowska, Samantha Teresa
- Date: 2019
- Subjects: Portfolio management , Financial crises , Investment analysis
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/414808 , uj:34999
- Description: Abstract: This study investigates the perceived characteristics of security analysts viewed by market participants, as vital in their decision making process, which leads to final investment decisions. The decision-making process is complicated by the elements that facilitate the accuracy of said security analysts. Many factors play a vital role in the competency portrayed by security analysts and thus market participants need to be aware of and evaluate such factors when selecting the relevant evaluations (or recommendations) provided to the public. A cross-sectional survey study methodology was applied to gather the relevant data. One hundred surveys were completed by South African market participants, which were collected and upon which the findings were based. The study focuses on eight categories that could possibly lead to a change in a market participants’ perspective of security analysts, mainly: (i) regulatory environment and conflicts of interest, (ii) information exchange, (iii) inherent bias, (iv) reporting standards, (v) incentives and optimism, (vi) experience and reputation, (vii) managerial guidance, and (viii) forecast drift. The results indicated that market participants, on average, would consult at least four analyst reports prior to making a final investment decision, and a majority would monitor their investments at least bi-quarterly. Furthermore, market participants are not more likely to purchase an investment that holds a buy recommendation to that of a hold or sell recommendation. A majority of market participants believe that conflicts of interest between buy-side and sell-side analysts exist, and would thus create overly optimistic investment recommendations. In addition, market participants believe that forecast accuracy is increased with each successive follower forecast made by security analysts. Analyst compensation, experience and reputation does influence the majority of market participants when making a final investment decision. Lastly the level of corporate governance and reporting standards upon which the recommendation is based also influences their final investment decision. This study could contribute to the growing body of research on investment, security analysts and market participants within South Africa. , M.Com. (Finance)
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- Authors: Marynowska, Samantha Teresa
- Date: 2019
- Subjects: Portfolio management , Financial crises , Investment analysis
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/414808 , uj:34999
- Description: Abstract: This study investigates the perceived characteristics of security analysts viewed by market participants, as vital in their decision making process, which leads to final investment decisions. The decision-making process is complicated by the elements that facilitate the accuracy of said security analysts. Many factors play a vital role in the competency portrayed by security analysts and thus market participants need to be aware of and evaluate such factors when selecting the relevant evaluations (or recommendations) provided to the public. A cross-sectional survey study methodology was applied to gather the relevant data. One hundred surveys were completed by South African market participants, which were collected and upon which the findings were based. The study focuses on eight categories that could possibly lead to a change in a market participants’ perspective of security analysts, mainly: (i) regulatory environment and conflicts of interest, (ii) information exchange, (iii) inherent bias, (iv) reporting standards, (v) incentives and optimism, (vi) experience and reputation, (vii) managerial guidance, and (viii) forecast drift. The results indicated that market participants, on average, would consult at least four analyst reports prior to making a final investment decision, and a majority would monitor their investments at least bi-quarterly. Furthermore, market participants are not more likely to purchase an investment that holds a buy recommendation to that of a hold or sell recommendation. A majority of market participants believe that conflicts of interest between buy-side and sell-side analysts exist, and would thus create overly optimistic investment recommendations. In addition, market participants believe that forecast accuracy is increased with each successive follower forecast made by security analysts. Analyst compensation, experience and reputation does influence the majority of market participants when making a final investment decision. Lastly the level of corporate governance and reporting standards upon which the recommendation is based also influences their final investment decision. This study could contribute to the growing body of research on investment, security analysts and market participants within South Africa. , M.Com. (Finance)
- Full Text:
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