Last week Andrea Saayman, Andre Heymans and Chris van Heerden kicked off the year’s research efforts with the SAFA conference in Cape Town. SAFA is back on the calender this year after a break for a few years and the Finance / Risk Management researchers enjoyed meeting up again.
There were a number of interesting papers at the conference ranging from pricing and hedging, the efficient market hypothesis, portfolio diversification, investor governance etc. The colleagues spoke on the following topics:
- Dr Van Heerden:The Influence of Higher Moments and Non-Normality on the Sharpe Ratio:A South African Perspective.
- Prof Heymans:Measuring performance on forecasted data: A Kalman filter approach.
- Prof Saayman: The Relationship Between Foreign Portfolio Investment and Exchange Rate Volatility in South Africa.