Risk parity and other risk based portfolio allocation approaches in South African and international equity markets

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dc.contributor.advisorVan Rensburg, Paulen_ZA
dc.contributor.advisorHuang, Chun-Sungen_ZA
dc.contributor.authorPanulo, Barryen_ZA
dc.date.accessioned2014-10-17T10:08:10Z
dc.date.available2014-10-17T10:08:10Z
dc.date.issued2014en_ZA
dc.descriptionIncludes bibliographical references.en_ZA
dc.description.abstractRisk parity, a portfolio allocation technique based on the equalization of constituent risk contributions, has garnered significant attention in academic circles over the past decade. This study employs back-tests to explore the empirical performance of the approach relative to other prominent heuristic and risk based allocation techniques on South Africa's All Share Index (ALSI) and 12 auxiliary international equity indices. We find that the technique discharges its core risk contribution equalization objectives well in out of sample testing but appears to lag other risk based allocation techniques in terms of risk and return performance. We also establish links between the approaches' performance and leverage aversion theory and find some evidence that levels of market concentration may impact the performance of risk parity portfolios across equity indices.en_ZA
dc.identifier.apacitationPanulo, B. (2014). <i>Risk parity and other risk based portfolio allocation approaches in South African and international equity markets</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,School of Economics. Retrieved from http://hdl.handle.net/11427/8508en_ZA
dc.identifier.chicagocitationPanulo, Barry. <i>"Risk parity and other risk based portfolio allocation approaches in South African and international equity markets."</i> Thesis., University of Cape Town ,Faculty of Commerce ,School of Economics, 2014. http://hdl.handle.net/11427/8508en_ZA
dc.identifier.citationPanulo, B. 2014. Risk parity and other risk based portfolio allocation approaches in South African and international equity markets. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Panulo, Barry AB - Risk parity, a portfolio allocation technique based on the equalization of constituent risk contributions, has garnered significant attention in academic circles over the past decade. This study employs back-tests to explore the empirical performance of the approach relative to other prominent heuristic and risk based allocation techniques on South Africa's All Share Index (ALSI) and 12 auxiliary international equity indices. We find that the technique discharges its core risk contribution equalization objectives well in out of sample testing but appears to lag other risk based allocation techniques in terms of risk and return performance. We also establish links between the approaches' performance and leverage aversion theory and find some evidence that levels of market concentration may impact the performance of risk parity portfolios across equity indices. DA - 2014 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2014 T1 - Risk parity and other risk based portfolio allocation approaches in South African and international equity markets TI - Risk parity and other risk based portfolio allocation approaches in South African and international equity markets UR - http://hdl.handle.net/11427/8508 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/8508
dc.identifier.vancouvercitationPanulo B. Risk parity and other risk based portfolio allocation approaches in South African and international equity markets. [Thesis]. University of Cape Town ,Faculty of Commerce ,School of Economics, 2014 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/8508en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentSchool of Economicsen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.titleRisk parity and other risk based portfolio allocation approaches in South African and international equity marketsen_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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