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    Comparison of decision-making under uncertainty investment strategies with the money market

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    Groenewald_Pretorius_ComparisonDecision.pdf (554.0Kb)
    Date
    2010
    Author
    Groenewald, Madeleine E
    Pretorius, Philip D
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    Abstract
    This paper proposes different investment strategies for portfolio selection based on decision-making under uncertainty, rather than the conventional Markowitz portfolio model. The results of perfect information and the results of investment strategies for decision-making under uncertainty are presented to illustrate the proposed strategies. It also compares the monthly return of strategies to the monthly returns of the money market. In order to find the optimal or best strategy as an effective solution to the portfolio selection problem, different investment strategies are compared over different time horizons. The best strategy is selected by calculating different risk and return (reward) measures that are used as decision criteria. The optimal strategy was the half yearly pessimistic Hurwicz criterion strategy and for the individual funds, S3. The investor does not always have to select the optimal strategy but he can also select a good model. Thus it is a strategy that has a slightly lower return but it shows lower risk.
    URI
    http://hdl.handle.net/10394/3828
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    • Faculty of Natural and Agricultural Sciences [4818]

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