Artikel
Varying cross-sectional volatility in the South African equity market and the implications for the management of fund managers
Modern portfolio theory is founded on an understanding of longitudinal volatility but it is the cross-sectional dispersion among investment returns that provide active portfolio managers with their competitive investment opportunities. The varying cross-sectional volatility in the South African equity market provides varying opportunity sets for active managers: the higher the cross-sectional volatility, the greater the opportunity for active risk taking, all other things being equal. This article argues that cross-sectional volatility must be considered hand-in-hand with risk limits and active risk targets when investment mandates are set and when mandated risk compliance is monitored.
- Language
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Englisch
- Bibliographic citation
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Journal: South African Journal of Business Management ; ISSN: 2078-5976 ; Volume: 42 ; Year: 2011 ; Issue: 2 ; Pages: 15-25 ; Cape Town: African Online Scientific Information Systems (AOSIS)
- Classification
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Management
- Event
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Geistige Schöpfung
- (who)
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Raubenheimer, H.
- Event
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Veröffentlichung
- (who)
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African Online Scientific Information Systems (AOSIS)
- (where)
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Cape Town
- (when)
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2011
- DOI
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doi:10.4102/sajbm.v42i2.491
- Handle
- Last update
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10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Raubenheimer, H.
- African Online Scientific Information Systems (AOSIS)
Time of origin
- 2011
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