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Factor investing for South African pension funds
This study investigates optimal factor portfolio strategies in South African, developed, and emerging equity markets. Leveraging Fama-French factor models, we construct single- and multi-factor portfolios based on the factors: size; value; momentum; quality; and low volatility. Single-factor portfol...
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| Format: | Thesis |
| Language: | English English |
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Division of Actuarial Science
2026
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