Title page for ETD etd-03132010-173959


Document Type Master's Dissertation
Author Mokoena, Trevor Thabang
URN etd-03132010-173959
Document Title To assess the diversification performance of emerging market equity portfolios
Degree MBA
Department Gordon Institute of Business Science
Supervisor
Advisor Name Title
Mr M MacKenzie Supervisor
Keywords
  • corporations
  • finance
Date 2009-04-01
Availability unrestricted
Abstract
Portfolio diversification in respect of emerging equity markets is of major interest to academia and professionals alike. Central to this portfolio diversification interest is the choice between the different emerging markets as well as the respective weights of the constituents of the portfolio. In particular, this study focused on South Africa as the preferred emerging equity market source of investment diversification.

The estimated and implied returns of the individual indices were computed from monthly index prices in order to obtain optimal portfolio returns. By maximising the Sharpe ratio of a portfolio through different weights of the individual indices, a portfolio optimisation tool was used to obtain the optimal portfolio and the diversification benefits throughout the studied period.

The findings were that emerging equity markets provide significant diversification benefits and that Morocco and Jordan are the most dominant emerging equity markets. Additionally, although the South African market index does provide diversification benefits, it does not feature in the optimal portfolio and it is not the most ideal emerging equity market for diversification purposes. Moreover, the diversification benefits differ depending on the weights of the developed and emerging equity markets within the portfolio and throughout the studied period

2008, 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

Please cite as follows:

Mokoena, TT 2008, To assess the diversification performance of emerging market equity portfolios, MBA dissertation, University of Pretoria, Pretoria, viewed yymmdd < http://upetd.up.ac.za/thesis/available/etd-03132010-180631/ >

G10/39/ag

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