Use of the Efficient Frontier Method In Unit Trust Portfolio Selection

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dc.contributor.author Mugivhi, Thomas Vhutshilo
dc.date.accessioned 2011-07-14T09:09:37Z
dc.date.available 2011-07-14T09:09:37Z
dc.date.issued 2011-07-14
dc.identifier.uri http://hdl.handle.net/10539/10295
dc.description MBA - WBS en_US
dc.description.abstract This paper investigated whether optimal market portfolios delivered returns superior to those of existing unit trust portfolios over a five-year period. Three sets of unit trust portfolios were used for the research and they represented the Large Capitalization, Mining & Resources, and Financial & Industrial sectors of the JSE Securities Exchange. For each of the three sectors, an optimised market portfolio was constructed using the efficient frontier method, and these were compared and contrasted with existing portfolios. The optimised market portfolios consistently resulted in higher Sharpe ratios compared with existing unit trust portfolios over the period under review. Assertion that optimal market portfolio produce returns, which are superior to those of existing unit trust portfolio was confirmed en_US
dc.language.iso en en_US
dc.subject Unit trusts en_US
dc.subject Johannesburg Securities Exchange en_US
dc.title Use of the Efficient Frontier Method In Unit Trust Portfolio Selection en_US
dc.type Thesis en_US


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