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Risk parity and other risk based portfolio allocation approaches in South African and international equity markets
Includes bibliographical references.
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| Main Author: | |
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
School of Economics
2014
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| _version_ | 1867613155981524992 |
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| access_status_str | Open Access |
| author | Panulo, Barry |
| author2 | Van Rensburg, Paul |
| author_browse | Panulo, Barry Van Rensburg, Paul |
| author_facet | Van Rensburg, Paul Panulo, Barry |
| author_sort | Panulo, Barry |
| collection | Thesis |
| description | Includes bibliographical references. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/8508 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:31:38.662Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2014 |
| publishDateRange | 2014 |
| publishDateSort | 2014 |
| publisher | School of Economics |
| publisherStr | School of Economics |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/8508 Risk parity and other risk based portfolio allocation approaches in South African and international equity markets Panulo, Barry Van Rensburg, Paul Huang, Chun-Sung Includes bibliographical references. Risk parity, a portfolio allocation technique based on the equalization of constituent risk contributions, has garnered significant attention in academic circles over the past decade. This study employs back-tests to explore the empirical performance of the approach relative to other prominent heuristic and risk based allocation techniques on South Africa's All Share Index (ALSI) and 12 auxiliary international equity indices. We find that the technique discharges its core risk contribution equalization objectives well in out of sample testing but appears to lag other risk based allocation techniques in terms of risk and return performance. We also establish links between the approaches' performance and leverage aversion theory and find some evidence that levels of market concentration may impact the performance of risk parity portfolios across equity indices. 2014-10-17T10:08:10Z 2014-10-17T10:08:10Z 2014 Master Thesis Masters MCom http://hdl.handle.net/11427/8508 eng application/pdf School of Economics Faculty of Commerce University of Cape Town |
| spellingShingle | Panulo, Barry Risk parity and other risk based portfolio allocation approaches in South African and international equity markets |
| thesis_degree_str | Master's |
| title | Risk parity and other risk based portfolio allocation approaches in South African and international equity markets |
| title_full | Risk parity and other risk based portfolio allocation approaches in South African and international equity markets |
| title_fullStr | Risk parity and other risk based portfolio allocation approaches in South African and international equity markets |
| title_full_unstemmed | Risk parity and other risk based portfolio allocation approaches in South African and international equity markets |
| title_short | Risk parity and other risk based portfolio allocation approaches in South African and international equity markets |
| title_sort | risk parity and other risk based portfolio allocation approaches in south african and international equity markets |
| url | http://hdl.handle.net/11427/8508 |
| work_keys_str_mv | AT panulobarry riskparityandotherriskbasedportfolioallocationapproachesinsouthafricanandinternationalequitymarkets |