A Portfolio Diversification Index as a Fund Management Instrument : a Case of Johannesburg Stock Exchange

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dc.contributor.authorKoomson, Francis
dc.date.accessioned2011-08-16T21:13:24Z
dc.date.accessioned2023-04-19T13:50:33Z
dc.date.available2011-08-16T21:13:24Z
dc.date.available2023-04-19T13:50:33Z
dc.date.issued2008-08-16
dc.descriptionA thesis submitted to College of Art and Social Sciences, School of Business, 2008en_US
dc.description.abstractDiversification is a basic tenet of portfolio construction but the conventional methods of measuring diversification remain inexact. Traditionally, a portfolio's diversification is measured relative to a market index. This approach is problematic in concentrated markets such as the JSE as the benchmark itself is often highly concentrated. A high level of concentration results in low diversification. This report investigates a new quantitative measure of diversification called the portfolio diversification index (ibDI). The PDI is based on a number of independent factors which are quantified using Principal Component Analysis (PCA). The report shows: * 1. The diversification of various JSE market indices calculated using the PDI and illustrates the effect of concentration on diversification. 2. The use of the PDI as a tool to assist active fund managers to improve their Information Ratio. Concentration is a major factor in smaller markets and this report highlights the dangers of simply transporting international research into other markets without first verifying the results.  en_US
dc.description.sponsorshipKNUSTen_US
dc.identifier.urihttps://ir.knust.edu.gh/handle/123456789/926
dc.language.isoenen_US
dc.relation.ispartofseries4745;
dc.titleA Portfolio Diversification Index as a Fund Management Instrument : a Case of Johannesburg Stock Exchangeen_US
dc.typeThesisen_US
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