المحفظة المثلى في سوق الأسهم السعودية

Abstract EN

Accounting is an ever developing profession, and its development depends largely on the practice of public accountants.

In recent years, public accountants have increasingly given a great deal of attention to financial markets and investment instruments.

This study introduces to accounting profession the well-known modern portfolio theory and the non-linear programming technique, and show how one can construct an optimal stock portfolio with few easy steps.

Using Saudi Arabia stock market as an example, the developed model in this study provides an optimal stock portfolio with annual return of 26.4% compared with 15.6% return for the market as a whole.

Although this study has limitations, it represents a contribution to knowledge because it is one of the first attempts to use the non-linear programming technique in the optimal portfolio construction field.

The explained steps we have followed in constructing an optimal Saudi stock portfolio is also of importance to CPA companies and investment companies.