بناء المحفظة الاستثمارية المثلى في ظل نموذج المؤشر الواحد لشارب : دراسة تحليلية في سوق عمان للأوراق المالية

Abstract EN

This study focuses on construction an optimal investment portfolio on the Amman Stock Exchange through the use of Sharpe Single index model.

The construction of the investment portfolio has become increasingly complex in recent years, Investors are expected to achieve maximum returns while reducing the risk on their investments, As the optimal combination of the portfolio is the one that achieve the highest returns at a certain level of risk so the investor needs the right knowledge of securities analysis and portfolio theory in order to make the right investment decision, Markowitz is the pioneer in modern portfolio theory (MPT) and the first to introduce a mathematical model in portfolio construction and diversification.

Modern portfolio theory is a financial theory that addresses rational financial decisions through the process of balancing returns and risk.

The essence of this theory revolves around the effect of efficient diversification in reducing risk, Sharpe simplifies the main assumptions of Markowitz by developing another tactic called a Single index model that is available for use when the volume of investment is large, The insertion or inclusion of as the introduction or inclusion of any securities of the optimal portfolio is linked to the excess return to Betas through the use supposedly cut off, as the securities that are above the cut limit are listed and arranged from top to bottom and the percentage of investment is calculated in each sheet The study sample consisted of 41 shares of shares listed on the Amman Stock Exchange for the period from 1 January 2010 to 30 December 2017, The main findings of this study are the high efficiency of the single indicator model in the optimal portfolio construction, as well as the ability to improve the portfolio's optimal characteristics and performance compared to the reference portfolio.

The main recommendations are to guide all investors who wish to build the optimal investment portfolio to use the single index model in construction the optimal investment portfolio because it simplifies the process of building the optimal investment portfolio in addition to the best performance of the portfolios of this model compared to other portfolios.