Allocation of Assets on the Ghana Stock Exchange (GSE)

Lord Mensah (), R. K. Avuglah and Vincent Dedu

International Journal of Financial Research, 2013, vol. 4, issue 2, 108-114

Abstract: In this paper, we use stock price data between the years 2007 and 2010 to investigate the allocation of assets on the GSE. The Classical Markowitz optimization method shows that, the most profitable portfolio is obtained by investing 90% of wealth in non-financial assets and 10% in financial assets. Risk aversive investor who goes for the minimum risk portfolio has to invest 80% in non-financial assets and 20% in financial assets. We also find that, if the investor decides to split his wealth among the financial and non-financial asset equally, his profit will not be as much as the minimum and the optimum risk portfolio. In effect, there is a reward for risk on the GSE but the Markowitz optimization strategy never exceeds the buy and hold strategy of the market index.

Keywords: portfolio allocation; asset returns; buy and hold strategy; tangency portfolio (TP); minimum variance portfolio (MVP) (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:jfr:ijfr11:v:4:y:2013:i:2:p:108-114

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