أثر خطر الصرف على خصائص المحفظة الإستثمارية : بناء محفظة أسهم دولية في سوق السعودية باستخدام البرمجة التربيعية

الملخص EN

We aim through this research paper to study the impact of the exchange risk on the characteristics (return and risk) of the investment portfolio, as international stock portfolios were built in the Saudi market from January 2005 to December 2020 with a focus on the international financial markets of the United States of America, Bahrain, and Egypt And Tunisia in the two cases of coverage against the risk of exchange and in the absence of coverage and based on the method of quadratic programming in the Excel program.

It was concluded that the portfolio formed under the hedge against the exchange risk achieves better advantages in terms of return and risk compared to its theory in the absence of hedge.