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Comparison of decision-making under uncertainty investment strategies with the money market

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dc.contributor.author Groenewald, Madeleine E
dc.contributor.author Pretorius, Philip D
dc.date.accessioned 2010-11-18T14:21:26Z
dc.date.available 2010-11-18T14:21:26Z
dc.date.issued 2010
dc.identifier.citation GROENEWALD, M.E. & PRETORIUS, P.D. 2010. Comparison of decision-making under uncertainty investment strategies with the money market (full paper). Proceedings of the 15th International Business Information Management Association Conference (15th IBIMA), 6 - 7 November 2010, Cairo, Egypt, pp. 483-496. (Knowledge Management and Innovation: A Business Competitive Edge Perspective, edited by Khalid S. Soliman) [http://www.ibima.org/CA2010/index.html] en
dc.identifier.isbn 978-0-9821489-4-5
dc.identifier.uri http://hdl.handle.net/10394/3828
dc.description Proceedings of the 15th International Business Information Management Association Conference (15th IBIMA), 6 - 7 November 2010, Cairo, Egypt, pp. 483-496. (Knowledge Management and Innovation: A Business Competitive Edge Perspective, edited by Khalid S. Soliman. On CD: ISBN: 978-0-9821489-4-5) en
dc.description.abstract This paper proposes different investment strategies for portfolio selection based on decision-making under uncertainty, rather than the conventional Markowitz portfolio model. The results of perfect information and the results of investment strategies for decision-making under uncertainty are presented to illustrate the proposed strategies. It also compares the monthly return of strategies to the monthly returns of the money market. In order to find the optimal or best strategy as an effective solution to the portfolio selection problem, different investment strategies are compared over different time horizons. The best strategy is selected by calculating different risk and return (reward) measures that are used as decision criteria. The optimal strategy was the half yearly pessimistic Hurwicz criterion strategy and for the individual funds, S3. The investor does not always have to select the optimal strategy but he can also select a good model. Thus it is a strategy that has a slightly lower return but it shows lower risk. en
dc.language.iso en en
dc.publisher IBIMA en
dc.subject Decision making under uncertainty en
dc.subject Portfolio selection en
dc.subject Risk/reward analysis en
dc.title Comparison of decision-making under uncertainty investment strategies with the money market en
dc.type Other en


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