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This paper reviews the major features of modern investment theory and illustrates them with examples drawn from The Johannesburg Stock Exchange (“JSE”). The cardinal relationship that emerges from this theory is embodied in the Capital Asset Pricing Model (“CAPM”) which states how assets are...
The application of principal components in the construction of stock market indices has not been enthusiastically received by the investment community. One of the main reasons for this is that a principal component approach often results in the allocation of negative weights to some of the...
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