Browsing by Subject "Modern portfolio theory"
Now showing items 1-4 of 4
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Decision-making under uncertainty : Markowitz optimisation as a passive strategy on the JSE
(North-West University (South Africa) , Potchefstroom Campus, 2015)Noted economist and Nobel Prize winner, Harry Markowitz is often called the father of modern portfolio theory based on his 1952 article, Portfolio Selection. His innovative work provided a framework for investment managers ... -
Developing a systematic risk model for JSE listed companies
(North-West University (South Africa), 2023)Since 1952, the modern portfolio theory (MPT) has dominated academic thought on the estimation of systematic risk. The MPT puts forward that systematic risk and return are positively and linearly interrelated. Although ... -
The influence of volatility spill-overs and market beta on portfolio construction
(University of Pretoria, Dept Economics, 2015)This study adds to Modern Portfolio Theory (MPT) by providing an additional measure to market beta in constructing a more efficient investment portfolio. The additional measure analyses the volatility spill-over effects ... -
Measuring the relationship between intraday returns, volatility spill–overs and market beta during financial distress
(2013)The modelling of volatility has long been seminal to finance and risk management in general, as it provides information on the spread of portfolio returns. In order to reduce the overall volatility of a stock portfolio, ...