A modern portfolio theory approach to asset management in the listed South African property market

摘要

This report focuses on a Modern Portfolio Theory (MPT) approach to AssetudManagement in the Listed South African Property Market. The research wasudundertaken to fill the gap in property research on Modern Portfolio Theory inudSouth Africa. The research set out to calculate the optimal portfolio weightingudfrom historical data (1995 – 2006) from Investment Property Databank (IPD) byudusing a portfolio optimiser spreadsheet on Excel’s solver application. Interviewsudwith Asset Managers were carried out to find out how many of them use MPT asuda strategic portfolio tool when managing a property portfolio. The researchudproved whether MPT is used by Asset Managers in South Africa, as well as, howudMPT should be used as strategic diversification tool and why it should be used