Varying cross-sectional volatility in the South African equity market and the implications for the management of fund managers

 

Show simple item record

dc.contributor.author Raubenheimer, H
dc.date.accessioned 2016-07-18T13:43:03Z
dc.date.available 2016-07-18T13:43:03Z
dc.date.issued 2011
dc.identifier.citation Raubenheimer, H. (2011). Varying cross-sectional volatility in the South African equity market and the implications for the management of fund managers. South African Journal of Business Management, 42(2):15-25. en_ZA
dc.identifier.issn 2078-5585 en_ZA
dc.identifier.uri http://hdl.handle.net/11427/20445
dc.description.abstract Modern portfolio theory is founded on an understanding of longitudinal volatility but it is the cross-sectional dispersion among investment returns that provide active portfolio managers with their competitive investment opportunities. The varying cross-sectional volatility in the South African equity market provides varying opportunity sets for active managers: the higher the cross-sectional volatility, the greater the opportunity for active risk taking, all other things being equal. This article argues that cross-sectional volatility must be considered hand-in-hand with risk limits and active risk targets when investment mandates are set and when mandated risk compliance is monitored. en_ZA
dc.language eng en_ZA
dc.publisher APM en_ZA
dc.source South African Journal of Business Management en_ZA
dc.source.uri http://www.sajbm.com/
dc.title Varying cross-sectional volatility in the South African equity market and the implications for the management of fund managers en_ZA
dc.type Journal Article en_ZA
dc.date.updated 2016-07-12T07:43:53Z
uct.type.publication Research en_ZA
uct.type.resource Article en_ZA
dc.publisher.institution University of Cape Town
dc.publisher.faculty Faculty of Commerce en_ZA
dc.publisher.department School of Management Studies en_ZA
uct.type.filetype Text
uct.type.filetype Image
dc.identifier.apacitation Raubenheimer, H. (2011). Varying cross-sectional volatility in the South African equity market and the implications for the management of fund managers. <i>South African Journal of Business Management</i>, http://hdl.handle.net/11427/20445 en_ZA
dc.identifier.chicagocitation Raubenheimer, H "Varying cross-sectional volatility in the South African equity market and the implications for the management of fund managers." <i>South African Journal of Business Management</i> (2011) http://hdl.handle.net/11427/20445 en_ZA
dc.identifier.vancouvercitation Raubenheimer H. Varying cross-sectional volatility in the South African equity market and the implications for the management of fund managers. South African Journal of Business Management. 2011; http://hdl.handle.net/11427/20445. en_ZA
dc.identifier.ris TY - Journal Article AU - Raubenheimer, H AB - Modern portfolio theory is founded on an understanding of longitudinal volatility but it is the cross-sectional dispersion among investment returns that provide active portfolio managers with their competitive investment opportunities. The varying cross-sectional volatility in the South African equity market provides varying opportunity sets for active managers: the higher the cross-sectional volatility, the greater the opportunity for active risk taking, all other things being equal. This article argues that cross-sectional volatility must be considered hand-in-hand with risk limits and active risk targets when investment mandates are set and when mandated risk compliance is monitored. DA - 2011 DB - OpenUCT DP - University of Cape Town J1 - South African Journal of Business Management LK - https://open.uct.ac.za PB - University of Cape Town PY - 2011 SM - 2078-5585 T1 - Varying cross-sectional volatility in the South African equity market and the implications for the management of fund managers TI - Varying cross-sectional volatility in the South African equity market and the implications for the management of fund managers UR - http://hdl.handle.net/11427/20445 ER - en_ZA


Files in this item

This item appears in the following Collection(s)

Show simple item record