Constructing efficient multi-asset class portfolios: Top-down or bottom-up?

Simple item page
dc.contributor.advisorCharteris, Ailieen_ZA
dc.contributor.advisorDe Kock, Johanen_ZA
dc.contributor.authorPule, Lebohangen_ZA
dc.date.accessioned2018-04-05T09:10:57Z
dc.date.available2018-04-05T09:10:57Z
dc.date.issued2017en_ZA
dc.description.abstractThis dissertation concerns itself with the problem of constructing multi asset class portfolios. The investment process is aimed at solving two problems. The first problem is estimating the future returns of individual securities, which is an exercise fraught with uncertainty as the future is fundamentally unpredictable. This uncertainty means that the investor must allocate his portfolio to a number of assets instead of just one, in case his predicted future returns do not materialize. This leads the investor to the second problem of how best to construct the portfolio. It is this part of the investment process which is the subject of this dissertation which examines whether it is best to construct multi-asset class portfolios using a top-down or bottom-up approach. In the top-down approach one begins by creating independent single asset class portfolios which are then combined to create a multi-asset class portfolio. The bottom-up approach constructs the portfolio by considering all the securities available to the investor (irrespective of asset class) at the same time. The Mean-Variance and Black- Litterman models are reviewed in detail. Portfolios are then created using these portfolio construction methods in order to compare the two approaches. In constructing these portfolios, the commonly encountered problem of missing data in financial return series is also examined. The main result is that the top-down and bottom-up approaches create similar efficient frontiers, though the bottom-up approach results in an extended frontier which allows investors to obtain efficient portfolios with either a higher expected return or a lower volatility.en_ZA
dc.identifier.apacitationPule, L. (2017). <i>Constructing efficient multi-asset class portfolios: Top-down or bottom-up?</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,Research of GSB. Retrieved from http://hdl.handle.net/11427/27753en_ZA
dc.identifier.chicagocitationPule, Lebohang. <i>"Constructing efficient multi-asset class portfolios: Top-down or bottom-up?."</i> Thesis., University of Cape Town ,Faculty of Commerce ,Research of GSB, 2017. http://hdl.handle.net/11427/27753en_ZA
dc.identifier.citationPule, L. 2017. Constructing efficient multi-asset class portfolios: Top-down or bottom-up?. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Pule, Lebohang AB - This dissertation concerns itself with the problem of constructing multi asset class portfolios. The investment process is aimed at solving two problems. The first problem is estimating the future returns of individual securities, which is an exercise fraught with uncertainty as the future is fundamentally unpredictable. This uncertainty means that the investor must allocate his portfolio to a number of assets instead of just one, in case his predicted future returns do not materialize. This leads the investor to the second problem of how best to construct the portfolio. It is this part of the investment process which is the subject of this dissertation which examines whether it is best to construct multi-asset class portfolios using a top-down or bottom-up approach. In the top-down approach one begins by creating independent single asset class portfolios which are then combined to create a multi-asset class portfolio. The bottom-up approach constructs the portfolio by considering all the securities available to the investor (irrespective of asset class) at the same time. The Mean-Variance and Black- Litterman models are reviewed in detail. Portfolios are then created using these portfolio construction methods in order to compare the two approaches. In constructing these portfolios, the commonly encountered problem of missing data in financial return series is also examined. The main result is that the top-down and bottom-up approaches create similar efficient frontiers, though the bottom-up approach results in an extended frontier which allows investors to obtain efficient portfolios with either a higher expected return or a lower volatility. DA - 2017 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2017 T1 - Constructing efficient multi-asset class portfolios: Top-down or bottom-up? TI - Constructing efficient multi-asset class portfolios: Top-down or bottom-up? UR - http://hdl.handle.net/11427/27753 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/27753
dc.identifier.vancouvercitationPule L. Constructing efficient multi-asset class portfolios: Top-down or bottom-up?. [Thesis]. University of Cape Town ,Faculty of Commerce ,Research of GSB, 2017 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/27753en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentResearch of GSBen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherDevelopment Financeen_ZA
dc.titleConstructing efficient multi-asset class portfolios: Top-down or bottom-up?en_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
Files
Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
thesis_com_2017_pule_lebohang.pdf
Size:
10.47 MB
Format:
Adobe Portable Document Format
Description:
Download
Collections
Masters