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

Volume 2009, Issue 69
  • ISSN : 1029-3523
  • E-ISSN: 2077-0227
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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.

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