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Portfolio construction in South Africa with regard to the exchange rate
Includes bibliographical references (leaves 120-123)
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| Main Author: | |
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
Department of Statistical Sciences
2015
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| _version_ | 1867613196957777920 |
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| access_status_str | Open Access |
| author | Holdsworth, Christopher G |
| author2 | Barr, Graham |
| author_browse | Barr, Graham Holdsworth, Christopher G |
| author_facet | Barr, Graham Holdsworth, Christopher G |
| author_sort | Holdsworth, Christopher G |
| collection | Thesis |
| description | Includes bibliographical references (leaves 120-123) |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/11264 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:32:18.917Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2015 |
| publishDateRange | 2015 |
| publishDateSort | 2015 |
| publisher | Department of Statistical Sciences |
| publisherStr | Department of Statistical Sciences |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/11264 Portfolio construction in South Africa with regard to the exchange rate Holdsworth, Christopher G Barr, Graham Mathematical Statistics Includes bibliographical references (leaves 120-123) In South Africa the exchange rate receives a large amount of attention, due to its volatility and its perceived effect on share returns. This dissertation examines the international literature regarding exchange rate exposure and replicates their methods in a South African context to determine the model that finds the most exchange rate exposure. With this model, and a few variations, the persistence of exchange rate exposure is examined, where it is found that a few shares consistently act as the best hedges against R/$ depreciation and similarly a few shares are consistently the best at exploiting Rand strength. With this in mind two hedging techniques are compared in their ability to protect against a R/$ depreciation, and simultaneously provide market related returns, against the ITRIX exchange traded fund. It was found that the methods were successful in that they were able to hedge against R/$ depreciation while still participating in the recent rapid growth on the J.S.E. 2015-01-04T14:30:22Z 2015-01-04T14:30:22Z 2006 Master Thesis Masters MSc http://hdl.handle.net/11427/11264 eng application/pdf Department of Statistical Sciences Faculty of Science University of Cape Town |
| spellingShingle | Mathematical Statistics Holdsworth, Christopher G Portfolio construction in South Africa with regard to the exchange rate |
| thesis_degree_str | Master's |
| title | Portfolio construction in South Africa with regard to the exchange rate |
| title_full | Portfolio construction in South Africa with regard to the exchange rate |
| title_fullStr | Portfolio construction in South Africa with regard to the exchange rate |
| title_full_unstemmed | Portfolio construction in South Africa with regard to the exchange rate |
| title_short | Portfolio construction in South Africa with regard to the exchange rate |
| title_sort | portfolio construction in south africa with regard to the exchange rate |
| topic | Mathematical Statistics |
| url | http://hdl.handle.net/11427/11264 |
| work_keys_str_mv | AT holdsworthchristopherg portfolioconstructioninsouthafricawithregardtotheexchangerate |