Asset Allocation Brewed Accross African Stock Markets

Lord Mensah (lordmensah@ug.edu.gh)

No 3205757, Proceedings of Economics and Finance Conferences from International Institute of Social and Economic Sciences

Abstract: Using data from eleven African stock markets between the years 2000-214 and adopting the Markowitz optimization technique, we construct the optimum portfolio and the minimum variance portfolio across eleven African stock markets. We find that, efficient allocation of assets across the African continents can offer better risk-return trade off than an investment that is country specific. The result is robust, as the bootstrap technique adopted did not significantly vary the results. Finally, comparing the risk and return of the optimum portfolio to the Standard and Poor Dow Jones index shows there is a reward for bearing extra risk to invest in Africa.

Keywords: Asset Allocation; African Stock Markets; investments; portfolio theory; optimal portfolio; bootstrapping (search for similar items in EconPapers)
JEL-codes: G00 G10 G11 (search for similar items in EconPapers)
Pages: 23 pages
Date: 2016-03
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Published in Proceedings of the Proceedings of the 5th Economic & Finance Conference, Miami, Mar 2016, pages 253-275

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Persistent link: https://EconPapers.repec.org/RePEc:sek:iefpro:3205757

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