![](/images/graphics-bg.png)
The optimization of the CNSS’s portfolio (Rates of Returns and Volatilities) via the application of ARMA-GARCH and Markowitz theories under Sharpe ratio based constraints
مقدم أطروحة جامعية
مشرف أطروحة جامعية
الجامعة
جامعة الأخوين
الكلية
كلية إدارة الأعمال
دولة الجامعة
المغرب
الدرجة العلمية
ماجستير
تاريخ الدرجة العلمية
2014
الملخص الإنجليزي
Overtime, the Moroccan social security dossier has been a controversial one as far as its management is concerned.
In fact, the CNSS’ main concerns are the effectiveness and the efficiency of the contributions’ portfolio since currently inefficient techniques are used to manage the tax payers’ contributions which hamper from reaching the contributors portfolio optimization.
In this regards, this study will attempt to focus on portfolio management strategies that will help the CNSS to manage its portfolio in order to get higher rate of returns while minimizing risks (less volatility).
Indeed, we will use Markowitz theory in order to optimize the CNSS portfolio.
Also, we will forecast the rate of returns and the variances through the application of GARCH model.
Finally, we will calculate the Sharpe ratio in order to determine the weight allocated to each fund with the CNSS’s portfolio.
The findings of this project are that the rate of returns that was obtained through the application of our portfolio management strategy is better than the CNSS’ current rate of returns.
Also, the level of risk or the variance that was obtained is less than the CNSS’s one.
Therefore, in the context of this project, the proposed portfolio management strategy is effective and can help the CNSS to cope with its challenges and reach its goals.
التخصصات الرئيسية
عدد الصفحات
56
قائمة المحتويات
Table of contents.
Abstract.
Interdiction.
[Chapter One] : Study’s objective.
[Chapter Two] : KYC (Kwon Your Client) for the CNSS.
[Chapter Three] : Theoretical background.
[Chapter Four] : Research methodology.
[Chapter Five] : Results and discussion.
Conclusion, limitations and recommendations.
References.
نمط استشهاد جمعية علماء النفس الأمريكية (APA)
Didi, Jihane. (2014). The optimization of the CNSS’s portfolio (Rates of Returns and Volatilities) via the application of ARMA-GARCH and Markowitz theories under Sharpe ratio based constraints. (Master's theses Theses and Dissertations Master). Al Akhawayn University, Morocco
https://search.emarefa.net/detail/BIM-626300
نمط استشهاد الجمعية الأمريكية للغات الحديثة (MLA)
Didi, Jihane. The optimization of the CNSS’s portfolio (Rates of Returns and Volatilities) via the application of ARMA-GARCH and Markowitz theories under Sharpe ratio based constraints. (Master's theses Theses and Dissertations Master). Al Akhawayn University. (2014).
https://search.emarefa.net/detail/BIM-626300
نمط استشهاد الجمعية الطبية الأمريكية (AMA)
Didi, Jihane. (2014). The optimization of the CNSS’s portfolio (Rates of Returns and Volatilities) via the application of ARMA-GARCH and Markowitz theories under Sharpe ratio based constraints. (Master's theses Theses and Dissertations Master). Al Akhawayn University, Morocco
https://search.emarefa.net/detail/BIM-626300
لغة النص
الإنجليزية
نوع البيانات
رسائل جامعية
رقم السجل
BIM-626300
قاعدة معامل التأثير والاستشهادات المرجعية العربي "ارسيف Arcif"
أضخم قاعدة بيانات عربية للاستشهادات المرجعية للمجلات العلمية المحكمة الصادرة في العالم العربي
![](/images/ebook-kashef.png)
تقوم هذه الخدمة بالتحقق من التشابه أو الانتحال في الأبحاث والمقالات العلمية والأطروحات الجامعية والكتب والأبحاث باللغة العربية، وتحديد درجة التشابه أو أصالة الأعمال البحثية وحماية ملكيتها الفكرية. تعرف اكثر
![](/images/kashef-image.png)