Long term portfolio construction

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dc.contributor.advisorVan Rensburg, Paulen_ZA
dc.contributor.authorMusilika, Oskaren_ZA
dc.date.accessioned2016-07-28T12:24:17Z
dc.date.available2016-07-28T12:24:17Z
dc.date.issued2016en_ZA
dc.description.abstractFinancial analyst commonly advice individual investors with a long investment horizon to invest in portfolios comprised more of equities. This advice is usually coupled with the practice of shifting the investor's portfolio from risky asset holdings towards bonds and cash as the investor's target date gets closer. This view rests on the notion that equities tend to be less risky over the long horizon and that stock returns exhibit mean reversion overtime. The purpose of this dissertation is to find the optimal asset allocation over various investment horizons; and investigate how the optimal asset allocation changes over the long investment horizon. The study uses data from South Africa's financial market covering the period December 2001 to December 2014. The mean - variance framework generated the optimal asset allocation over 12 investment horizons. The study finds that, over 90 percent of the portfolio should be vested into fixed - income South African bonds, with little over 5 percent equities allocation, over longer investment periods. In addition, the study found evidence of time diversification on the JSE all shares index and the presence of mean reversion properties for the all s hares index. With these conclusions, implications and recommendations are suggesteden_ZA
dc.identifier.apacitationMusilika, O. (2016). <i>Long term portfolio construction</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax. Retrieved from http://hdl.handle.net/11427/20977en_ZA
dc.identifier.chicagocitationMusilika, Oskar. <i>"Long term portfolio construction."</i> Thesis., University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax, 2016. http://hdl.handle.net/11427/20977en_ZA
dc.identifier.citationMusilika, O. 2016. Long term portfolio construction. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Musilika, Oskar AB - Financial analyst commonly advice individual investors with a long investment horizon to invest in portfolios comprised more of equities. This advice is usually coupled with the practice of shifting the investor's portfolio from risky asset holdings towards bonds and cash as the investor's target date gets closer. This view rests on the notion that equities tend to be less risky over the long horizon and that stock returns exhibit mean reversion overtime. The purpose of this dissertation is to find the optimal asset allocation over various investment horizons; and investigate how the optimal asset allocation changes over the long investment horizon. The study uses data from South Africa's financial market covering the period December 2001 to December 2014. The mean - variance framework generated the optimal asset allocation over 12 investment horizons. The study finds that, over 90 percent of the portfolio should be vested into fixed - income South African bonds, with little over 5 percent equities allocation, over longer investment periods. In addition, the study found evidence of time diversification on the JSE all shares index and the presence of mean reversion properties for the all s hares index. With these conclusions, implications and recommendations are suggested DA - 2016 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2016 T1 - Long term portfolio construction TI - Long term portfolio construction UR - http://hdl.handle.net/11427/20977 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/20977
dc.identifier.vancouvercitationMusilika O. Long term portfolio construction. [Thesis]. University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax, 2016 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/20977en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDepartment of Finance and Taxen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherInvestment Managementen_ZA
dc.titleLong term portfolio constructionen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMComen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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