Browsing by Subject "beta"
Now showing items 1-2 of 2
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Constructing feasible portfolios under tracking error, beta, alpha, utility and asset weight constraints
(North-West University (South Africa), 2019)Active portfolio managers are constrained by mandates which prevent them from taking on unnecessary absolute portfolio risk when pursuing returns in excess of the benchmark. By deviating away from index weightings, an ... -
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 ...