Maximization of the Sharpe ratio of CNSS’s portfolio under value at risk based constraint using ARMA-GARCH to forecast the returns and variances

مقدم أطروحة جامعية

Kabbaj, Tahar

مشرف أطروحة جامعية

Alawi, Abd al-Hamid Hamidi

الجامعة

جامعة الأخوين

الكلية

كلية إدارة الأعمال

دولة الجامعة

المغرب

الدرجة العلمية

ماجستير

تاريخ الدرجة العلمية

2016

الملخص الإنجليزي

The present paper is an extended work of the studies that have been conducted by three of Al Akhawayn University in Ifrane’s graduate students in partial fulfilment of their MBA degree.

The aim of these earlier studies was to optimize the portfolio of CNSS (the public entity in charge of social security in Morocco).

The technics that were used in the papers are as follows: 1) Optimization through ARMA-GARCH and Sharpe ratio based constraints.

2) Optimization using Markowitz portfolio theory and value at risk constraints.

3) Optimization using Markowitz portfolio theory under Sharpe ratio based constraints.

Since the findings of those papers were able to enhance the portfolio of CNSS, the present paper will try to somehow combine their methods for the sake of achieving a better portfolio performance.

Basically, this paper investigates the maximization of the Sharpe ratio of CNSS’s portfolio under Value at Risk based constraint using ARMA-GARCH to forecast the returns and variances.

The findings of this study have shown that there is a possibility of improving not only the Sharpe ratio of CNSS’s portfolio, but also the compounded return and standard deviation under unconstrained ARMA GARCH (2.2) forecasts and optimization of weights allocation

التخصصات الرئيسية

العلوم الاقتصادية والمالية وإدارة الأعمال

عدد الصفحات

60

قائمة المحتويات

• APA
• MLA
• AMA

لغة النص

الإنجليزية

نوع البيانات

رسائل جامعية

رقم السجل

BIM-775309