Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/218173 
Year of Publication: 
1997
Citation: 
[Journal:] South African Journal of Business Management [ISSN:] 2078-5976 [Volume:] 28 [Issue:] 3 [Publisher:] African Online Scientific Information Systems (AOSIS) [Place:] Cape Town [Year:] 1997 [Pages:] 88-96
Publisher: 
African Online Scientific Information Systems (AOSIS), Cape Town
Abstract: 
This article focusses on portfolio construction in markets where legislation restricts investors from investing in international markets. An extended market model is implemented to additionally estimate a component of foreign market risk. In the first part of the article the decomposition of the risk of securities on the Johannesburg Stock Exchange (JSE) is empirically demonstrated. In the second part an automated portfolio construction methodology based on the resulting foreign risk estimates of the model is empirically tested on the JSE. The results confirm there is potential for improving the performance of existing 'international' funds on the JSE using more rigorous quantitative approaches such as the one proposed here.
Persistent Identifier of the first edition: 
Creative Commons License: 
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Document Type: 
Article

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