n Investment Analysts Journal - A distributional comparison of size-based portfolios on the JSE

This is currently unavailable for purchase.



This paper examines the non-normality of two smaller capitalization and two larger capitalization portfolios, under different weighting schemes. It demonstrates the superior fit from using two-component mixture of normal distributions instead of a single normal distribution. Additionally, the paper analyzes the components of the mixtures in order to contrast the smaller and larger capitalization portfolios. In doing so, it is shown that the portfolios behave similarly during periods of low volatility, but quite differently during periods of high volatility.


Article metrics loading...

This is a required field
Please enter a valid email address
Approval was a Success
Invalid data
An Error Occurred
Approval was partially successful, following selected items could not be processed due to error