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Selection and Analysis of Optimized Portfolio Sectors of Johannesburg Stock Markets
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Author(s): Boris Tizi Zourmba (University of Ngaoundere, Cameroon), Jimbo Henri Claver (Samarkand International University of Technology, Uzbekistan), Nzotem Tchoumi Cyrille Audrey (University of Ngaoundere, Cameroon), Paul Tchoua (University of Ngaoundere, Cameroon)and Georges Nguefack-Tsague (University of Yaounde 1, Cameroon)
Copyright: 2025
Pages: 44
Source title:
Data Analytics and AI for Quantitative Risk Assessment and Financial Computation
Source Author(s)/Editor(s): Mohammad Gouse Galety (Samarkand International University of Technology, Uzbekistan), Jimbo Henri Claver (Samarkand Interntional University of Technology, Uzbekistan), A. V. Sriharsha (Mohan Babu University, India), Narasimha Rao Vajjhala (University of New York Tirana, Tirana, Albania)and Arul Kumar Natarajan (Samarkand International University of Technology, Uzbekistan)
DOI: 10.4018/979-8-3693-6215-0.ch012
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Abstract
The study of financial markets can be performed by an aggregation of the study of principal sectors that make up the latter. In this paper a sectorial approach is proposed by building sectorial portfolios to give a global insight to investors on JSE (Johannesburg Stock Exchange). Four portfolios are built: maximum Sharpe ratio portfolio, maximum Sortino ratio, maximum Calmar ratio portfolio and maximum CVaR ratio, for the eight chosen sectors on South Africa Stock Market. Portfolios are built on four different optimization frameworks. The data are taken on Yahoo Financial website from 1st March 2020 to 1st March 2024. The evaluation of portfolio performance is done based on their cumulative returns and their Ulcer index ratio over the training and test period for each sector. Based on the results obtained, the best portfolio is identified for each sector. The results provide useful insights for investors with the selection and allocation strategies based on the current profitability and risk associated with investment in the stocks of the chosen sectors of the JSE.
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