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Investigating stochastic portfolio theory with applications to the South African equity market
Dissertation (MSc)--University of Pretoria, 2015.
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| Format: | Thesis |
| Language: | English |
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University of Pretoria
2014
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| _version_ | 1867613668920786944 |
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| access_status_str | Open Access |
| author2 | Mare, Eben |
| author_browse | Mare, Eben |
| author_facet | Mare, Eben |
| collection | Thesis |
| dc_rights_str_mv | © 2014 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. |
| description | Dissertation (MSc)--University of Pretoria, 2015. |
| format | Thesis |
| id | oai:repository.up.ac.za:2263/42718 |
| institution | University of Pretoria (South Africa) |
| language | English |
| last_indexed | 2026-06-10T12:39:48.717Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UPSpace — University of Pretoria Institutional Repository |
| publishDate | 2014 |
| publishDateRange | 2014 |
| publishDateSort | 2014 |
| publisher | University of Pretoria |
| publisherStr | University of Pretoria |
| record_format | dspace |
| source_str | UPSpace — University of Pretoria Institutional Repository |
| spelling | oai:repository.up.ac.za:2263/42718 Investigating stochastic portfolio theory with applications to the South African equity market Mare, Eben Taljaard, Byran Hugo Financial Engineering Applied Mathematics UCTD Dissertation (MSc)--University of Pretoria, 2015. Stochastic Portfolio Theory (SPT) as a methodology aims to move away from the e cient market hypothesis which was developed mainly as a way of explaining the relationship between risk and returns. SPT attempts to explain stock market behaviour using only the assumption of a logarithmic model of stocks, which is widely used in derivative pricing and hedging. This provides a potential tool for portfolio management and an alternative to the commonly used mean-variance approach of Markowitz. The aim of this dissertation is to provide an overview of the foundations of Stochastic Portfolio Theory, the consequences for portfolio construction and behaviour and apply these concepts to the South African Equity Market. Mathematics and Applied Mathematics MSc Unrestricted 2014-12-01T06:26:31Z 2014-12-01T06:26:31Z 2015-04 2015 Dissertation Taljaard, BH 2015, Investigating stochastic portfolio theory with applications to the South African equity market, MSc Dissertation, University of Pretoria, Pretoria, viewed yymmdd <http://hdl.handle.net/2263/42718> A2015 http://hdl.handle.net/2263/42718 en © 2014 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. application/pdf University of Pretoria |
| spellingShingle | Financial Engineering Applied Mathematics UCTD Investigating stochastic portfolio theory with applications to the South African equity market |
| title | Investigating stochastic portfolio theory with applications to the South African equity market |
| title_full | Investigating stochastic portfolio theory with applications to the South African equity market |
| title_fullStr | Investigating stochastic portfolio theory with applications to the South African equity market |
| title_full_unstemmed | Investigating stochastic portfolio theory with applications to the South African equity market |
| title_short | Investigating stochastic portfolio theory with applications to the South African equity market |
| title_sort | investigating stochastic portfolio theory with applications to the south african equity market |
| topic | Financial Engineering Applied Mathematics UCTD |
| url | http://hdl.handle.net/2263/42718 |