On international fund construction in South Africa
South African Journal of Business Management
| Field | Value | |
| Title | On international fund construction in South Africa | |
| Creator | Bradfield, D. J. Ardington, C. S. | |
| Description | This article focusses on portfolio construction in markets where legislation restricts investors from investing in international markets. An extended market model is implemented to additionally estimate a component of foreign market risk. In the first part of the article the decomposition of the risk of securities on the Johannesburg Stock Exchange (JSE) is empirically demonstrated. In the second part an automated portfolio construction methodology based on the resulting foreign risk estimates of the model is empirically tested on the JSE. The results confirm there is potential for improving the performance of existing 'international' funds on the JSE using more rigorous quantitative approaches such as the one proposed here. | |
| Publisher | AOSIS | |
| Date | 1997-09-30 | |
| Identifier | 10.4102/sajbm.v28i3.793 | |
| Source | South African Journal of Business Management; Vol 28, No 3 (1997); 88-96 2078-5976 2078-5585 | |
| Language | eng | |
| Relation |
The following web links (URLs) may trigger a file download or direct you to an alternative webpage to gain access to a publication file format of the published article:
https://sajbm.org/index.php/sajbm/article/view/793/724
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