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An appreciation of portfolio theory and risk measurement and its application to the South African capital market

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dc.contributor.author Trisk BPI en
dc.date.accessioned 2016-09-22T09:16:39Z
dc.date.available 2016-09-22T09:16:39Z
dc.date.submitted 1978 en
dc.identifier.uri http://hdl.handle.net/20.500.11892/52586
dc.description.abstract Examines portfolio theory and risk management. The background to the prevailing investment climate on the Johannesburg Stock Exchange is outlined and the major investors are identified. Discussion of the market s efficiency, which is assumed by portfolio theory, leads to the conclusion that the JSE is relatively efficient. The relationship between expected return and risk is described through the Capital Asset Pricing Model, which postulates that assets with the same risk should have the same expected return. Risk is treated as the variability of return and is expanded to consider a security s, or a portfolio s, beta coefficient. One institution s experience with beta analysis is summarised and the methodology and findings are commented upon. Other models, including a multiple regression technique for valuing securities on the basis of earning multiples, are successfully applied to the stock market. An exercise in the implementation of the Markowitz and Sharpe Single-Index portfolio models is described. Particular attention is paid to the relevance of measured betas, and a comparison is made with previous findings to assess the stationarity of the beta value. It is shown, despite changes in actual beta values, that the ranking of securities by beta magnitude remains fairly consistent with time. In conclusion, the criticisms of portfolio theory in South Africa are discussed. Suggestions are given for the practical implementation of the theory in portfolio management. en
dc.language English en
dc.subject Business administration / Business leadership en
dc.subject Financial management en
dc.title An appreciation of portfolio theory and risk measurement and its application to the South African capital market en
dc.type Masters degree en
dc.description.degree MBA en


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