Computations and Performance Analysis of Self-Financing Fixed-Mix Investment Portfolio Strategies in a South African Financial Market

The potential of active portfolio management with fixed-mix strategies is analysed under the systemic risk settings of the derivative market and the financial assets market. The fast exponential growth of fixed-mix portfolios under the non-degeneracy condition, which is the non-constancy of the price ratios and as well as the prices's total returns, and the stationary condition, (see [Dempster, Evsteegniv an Schenk-Hopp´e, in Journal of Mathematical Economics, 46 (2010), pp. 248-266]), asserts a potential to uphold such conditions with financial engineered transactions. The proxies which analytically hold the assumptions and the required conditions of constant rebalanced portfolios are studied by analysing the dynamics of stochastic prices of futures and forward contracts on commodity prices. The mean-reversion typical settings of the prices of traded assets declare the non-degeneracy condition and the associated stationarity form on the marking-to-market process of a traded instrument. The performed computations of portfolio strategies in the South African financial market, without considering assets dividend rates and trading costs, show the superiority of fixed-mix portfolios over counter leveraged effective risk increased optimal buy and hold portfolios. The superiority is shown to be a tactical problem