Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/218457 
Year of Publication: 
2011
Citation: 
[Journal:] South African Journal of Business Management [ISSN:] 2078-5976 [Volume:] 42 [Issue:] 2 [Publisher:] African Online Scientific Information Systems (AOSIS) [Place:] Cape Town [Year:] 2011 [Pages:] 15-25
Publisher: 
African Online Scientific Information Systems (AOSIS), Cape Town
Abstract: 
Modern portfolio theory is founded on an understanding of longitudinal volatility but it is the cross-sectional dispersion among investment returns that provide active portfolio managers with their competitive investment opportunities. The varying cross-sectional volatility in the South African equity market provides varying opportunity sets for active managers: the higher the cross-sectional volatility, the greater the opportunity for active risk taking, all other things being equal. This article argues that cross-sectional volatility must be considered hand-in-hand with risk limits and active risk targets when investment mandates are set and when mandated risk compliance is monitored.
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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