Proceedings of the 5th Economic & Finance Conference, Miami

ASSET ALLOCATION BREWED ACCROSS AFRICAN STOCK MARKETS

LORD MENSAH

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

DOI: 10.20472/EFC.2016.005.017

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