Empirical performance of alternative risk measures in portfolio selection - the case of South African stock market

Abstract

Portfolio selection is the process of apportioning capital to a finite number of assets given the wider set of all investment options. The decision of best combination of assets to invest in is the subject of debate among practitioners and researchers alike. Individuals face a multitude of constraints when making allocation decisions thus their patterns of investing are wildly different. However, economists have studied asset price patterns for long enough to be able to pick out aggregate patterns and develop a theory of decision making: Utility Theory.