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dc.contributor.advisor | Mare, Eben | |
dc.contributor.postgraduate | Taljaard, Byran Hugo | |
dc.date.accessioned | 2014-12-01T06:26:31Z | |
dc.date.available | 2014-12-01T06:26:31Z | |
dc.date.created | 2015-04 | |
dc.date.issued | 2015 | en_US |
dc.description | Dissertation (MSc)--University of Pretoria, 2015. | en_US |
dc.description.abstract | 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. | en_US |
dc.description.availability | Unrestricted | en_US |
dc.description.degree | MSc | |
dc.description.department | Mathematics and Applied Mathematics | en_US |
dc.identifier.citation | 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> | |
dc.identifier.other | A2015 | |
dc.identifier.uri | http://hdl.handle.net/2263/42718 | |
dc.language.iso | en | en_US |
dc.publisher | University of Pretoria | en_ZA |
dc.rights | © 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. | en_US |
dc.subject | Financial Engineering | en_US |
dc.subject | Applied Mathematics | en_US |
dc.subject | UCTD | |
dc.title | Investigating stochastic portfolio theory with applications to the South African equity market | en_US |
dc.type | Dissertation | en_US |