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Stochastic Investment Modelling: The Case of South Africa

Published online by Cambridge University Press:  10 June 2011

R.J. Thomson
R.J. Thomson
Affiliation:
University of the Witwatersrand, Private Bag X3, Wits, 2050, South Africa. Tel: +27 11 646 5332; Fax: +27 11 339 6640; E-mail: [email protected]
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Abstract

The purpose of this paper is to describe a methodology for determining an appropriate structure for time-series models of inflation rates, short-term and long-term interest rates, dividend growth rates, dividend yields, rental growth rates and rental yields and to demonstrate the application of that methodology to the development of a model based on South African data. It is suggested that the methodology used in this paper may be applied to other economic environments.

Keywords

Stochastic ModelInflationInterestDividendsRentalsTime SeriesPension FundsSouth Africa
Type
Sessional meetings: papers and abstracts of discussions
Information
British Actuarial Journal , Volume 2 , Issue 3 , 01 August 1996 , pp. 765 - 801
Copyright
Copyright © Institute and Faculty of Actuaries 1996

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