Asset allocation in the South African environment

Master Thesis

2014

Permanent link to this Item
http://hdl.handle.net/11427/8552
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thesis_com_2014_com_mahoney_k.pdf (3.46 MB)
Authors
Mahoney, Kevin
Supervisors
Van Rensburg, Paul
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University of Cape Town

Department
Department of Finance and Tax
Faculty
Faculty of Commerce
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Abstract
The aim of this paper is to find solutions to the asset allocation problem in the South African environment. These solutions look at a variety of different investor's preferences. These include an investor's age, risk aversion and required levels of returns. To do this, an analysis was done of prior research, so the most up to date mean-variance asset allocation model could be developed. Returns from 10 different indices, over different asset classes were gathered. The indices of importance were found to be: All Bond Index (ALBI), Inflation Linked All Maturities Index (ILB), Salient's Momentum Active Index Fund (MOME), Salient's Value Active Index Fund (VAL), South African Short Term Fixed Interest Index (STEFI) and South African Property Index (SAPY).
Description

Includes bibliographical references.

Keywords
Investment Management

Reference:

Mahoney, K. 2014. Asset allocation in the South African environment. University of Cape Town.

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Masters