Varying cross-sectional volatility in the South African equity market and the implications for the management of fund managers
South African Journal of Business Management
| Field | Value | |
| Title | Varying cross-sectional volatility in the South African equity market and the implications for the management of fund managers | |
| Creator | Raubenheimer, H. | |
| Description | Modern portfolio theory is founded on an understanding of longitudinal volatility but it is the cross-sectional dispersion among investment returns that provide active portfolio managers with their competitive investment opportunities. The varying cross-sectional volatility in the South African equity market provides varying opportunity sets for active managers: the higher the cross-sectional volatility, the greater the opportunity for active risk taking, all other things being equal. This article argues that cross-sectional volatility must be considered hand-in-hand with risk limits and active risk targets when investment mandates are set and when mandated risk compliance is monitored. | |
| Publisher | AOSIS | |
| Date | 2011-06-30 | |
| Identifier | 10.4102/sajbm.v42i2.491 | |
| Source | South African Journal of Business Management; Vol 42, No 2 (2011); 15-25 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/491/420
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