Extracted from text ... Seasonal timing using put option portfolio protection on the Johannesburg Securities Exchange
Investment Analysts Journal - No. 64 2006 5
Seasonal timing using put option portfolio protection on the
Johannesburg Securities Exchange
Market timing is generally described as a strategy of
switching between asset classes in anticipation of
significant economic changes. In contrast to selecting
individual securities for a portfolio, market timing seeks
to switch or weight entire portfolios into particular asset
Jeffery (1984), in his seminal article titled "The Folly of
Stock Market Timing", showed that perfect timing
ability in switching between an equity index on ..
Extracted from text ... Examining the volatility skew in the South African equity market using risk-neutral historical distributions
Investment Analysts Journal - No. 64 2006 15
Examining the volatility skew in the South African equity
market using risk-neutral historical distributions
1.1 Volatility skews and the notion of fairness
The volatility skew is a function relating the implied
volatility of an option to its strike price. For most
equities and their associated indices, a plot of this
function yields a decreasing curve, which indicates
that, as the strike price of an equity option increases,
so its implied volatility tends to decrease. Implied ..
Extracted from text ... The impact of survivorship bias on South African unit trust performance: 1972-2004
Investment Analysts Journal - No. 64 2006 21
The impact of survivorship bias on South African unit trust
Unit trusts1 have experienced explosive growth, both in
assets and the number of funds. This is a
phenomenon that has been experienced universally.
This phenomenon has given rise to numerous studies
that analyse the performance of unit trusts. However,
unit trust performance within a South African context is
a largely unexploited research area, more specifically
survivorship bias and the implications thereof.
Survivorship bias is the ..
Extracted from text ... Forecasting South African house prices
Investment Analysts Journal - No. 64 2006 27
Forecasting South African house prices
Property analysts are continuously speculating as to
whether the current boom in the South African
residential property market is, in essence, an
impending bubble waiting to burst. A repeat of the
crash that befell the market during the early 1980s is
feared. Nevertheless, the general consensus is that a
downward correction or, at the very least, a
stabilization of the house prices is inevitable as the
affordability of housing decreases. However, the exact
timing of this correction is unknown, ..
Extracted from text ... Pricing rainbow options: Nonparametric methods using copulas
Investment Analysts Journal - No. 64 2006 35
Pricing rainbow options: Nonparametric methods using
The aim of this paper is to investigate the pricing of
bivariate options on the Johannesburg Stock
Exchange All Share Index (ALSI) and Bond Exchange
of South Africa All Bond Index (ALBI).
Here follow some remarks on mathematical asset
pricing theory (cf. Bingham and Kiesel (2004):
A probability measure
is said to be risk-neutral if,
, every asset has the same expected return
as the riskless bank account, i.e. if for all ..