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Combining Markowitz's selection model with different investment styles
Mini Dissertation (MBA)--University of Pretoria, 2017.
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| Format: | Thesis |
| Language: | English |
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University of Pretoria
2018
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| _version_ | 1867613678160838656 |
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| access_status_str | Open Access |
| author2 | Ward, Mike |
| author_browse | Ward, Mike |
| author_facet | Ward, Mike |
| collection | Thesis |
| dc_rights_str_mv | © 2018 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 | Mini Dissertation (MBA)--University of Pretoria, 2017. |
| format | Thesis |
| id | oai:repository.up.ac.za:2263/64816 |
| institution | University of Pretoria (South Africa) |
| language | English |
| last_indexed | 2026-06-10T12:39:57.392Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UPSpace — University of Pretoria Institutional Repository |
| publishDate | 2018 |
| publishDateRange | 2018 |
| publishDateSort | 2018 |
| 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:2263/64816 Combining Markowitz's selection model with different investment styles Ward, Mike ichelp@gibs.co.za Smith, Shaun UCTD Mini Dissertation (MBA)--University of Pretoria, 2017. Portfolio selection has been a well-researched topic since the mid 1950Õs. Researchers such as Harry Markowitz obtained the Noble Prize for his work on portfolio selection. His model, which is underpinned by the concept that the market is efficient, has been the cornerstone of many investment strategies over the years. Recently, however, many authors have claimed that the markets are inefficient, and that one cannot rely on a model that assumes a linear and static relationship between risk and reward, making the Markowitz Portfolio Selection Model (MPSM) obsolete. Literature suggests that much of this inefficiency is created through the use of different styles; that is, styles in which shares are grouped together based on certain fundamental characteristics, to inform the investment strategies of investors. Therefore, this study endeavours to supplement the MPSM with different investment styles. Firstly, testing whether the risk adjustment afforded by the MPSM is positively influenced by the different investment styles. Secondly, to determine which style achieves the highest returns over the selected period. Monthly total return data from the JSE was used and portfolio rebalancing took place every six months for a period of 10 years. The share weightings of the portfolios were informed by risk adjusted style based predicted returns. The performance of these portfolios was subsequently compared. Results indicated that style influenced portfolios outperform the non-style influenced MPSM, with some styles providing greater returns than others over the period selected. lt2018 Gordon Institute of Business Science (GIBS) MBA Unrestricted 2018-05-11T09:02:30Z 2018-05-11T09:02:30Z 30-03-18 2017 Mini Dissertation Smith, S 2017, Combining MarkowitzÕs selection model with different investment styles, MBA Mini Dissertation, University of Pretoria, Pretoria, viewed yymmdd <http://hdl.handle.net/2263/64816> http://hdl.handle.net/2263/64816 en © 2018 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 | UCTD Combining Markowitz's selection model with different investment styles |
| title | Combining Markowitz's selection model with different investment styles |
| title_full | Combining Markowitz's selection model with different investment styles |
| title_fullStr | Combining Markowitz's selection model with different investment styles |
| title_full_unstemmed | Combining Markowitz's selection model with different investment styles |
| title_short | Combining Markowitz's selection model with different investment styles |
| title_sort | combining markowitz s selection model with different investment styles |
| topic | UCTD |
| url | http://hdl.handle.net/2263/64816 |