Optimal portfolio and performance-risk metric : a study on Saudi stock market
Joint Authors
Jabburi, Muhammad
Tahi, Abd al-Rahman
Source
Issue
Vol. 7, Issue 2 (31 Aug. 2021), pp.833-848, 16 p.
Publisher
Tahri Mohamed Bechar University Faculty of Economic Commerce and Management Sciences
Publication Date
2021-08-31
Country of Publication
Algeria
No. of Pages
16
Main Subjects
Topics
Abstract EN
The aim of this study is to estimate the optimal portfolio weights for the mean-variance efficient optimal portfolio using linear programming technique for single and multi-period using rebalance technique, then compare the performances and risk metrics with the equal-weighted portfolio, we used in performance metrics Sharpe and Treynor ratios, CAPM Alpha and Beta, and for the risk metrics VaR and CVaR.
We found that the MV optimal portfolio performed better and less risky than the equal-weighted portfolio for both single and multi-periods.
American Psychological Association (APA)
Tahi, Abd al-Rahman& Jabburi, Muhammad. 2021. Optimal portfolio and performance-risk metric : a study on Saudi stock market. Al-Bashaer Economic Journal،Vol. 7, no. 2, pp.833-848.
https://search.emarefa.net/detail/BIM-1250372
Modern Language Association (MLA)
Tahi, Abd al-Rahman& Jabburi, Muhammad. Optimal portfolio and performance-risk metric : a study on Saudi stock market. Al-Bashaer Economic Journal Vol. 7, no. 2 (2021), pp.833-848.
https://search.emarefa.net/detail/BIM-1250372
American Medical Association (AMA)
Tahi, Abd al-Rahman& Jabburi, Muhammad. Optimal portfolio and performance-risk metric : a study on Saudi stock market. Al-Bashaer Economic Journal. 2021. Vol. 7, no. 2, pp.833-848.
https://search.emarefa.net/detail/BIM-1250372
Data Type
Journal Articles
Language
English
Notes
-
Record ID
BIM-1250372