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n Investment Analysts Journal - Seasonal timing using put option portfolio protection on the Johannesburg Securities Exchange

Volume 2006, Issue 64
  • ISSN : 1029-3523
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Abstract

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 1. INTRODUCTION* 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 classes. 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 ..

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/content/invest/2006/64/EJC46794
2006-11-01
2017-08-18

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