Asset allocation in the South African environment

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).

Grantor dc:publisher.institution

Department of Finance and Tax

Year dc:date.issued

2014

Author dc:creator

• Mahoney, Kevin

Advisor dc:contributor.advisor

• Van Rensburg, Paul

Language dc:language.iso

eng

Handle dc:identifier.uri

http://hdl.handle.net/11427/8552

OAI identifier oai:identifier

oai:open.uct.ac.za:11427/8552