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

Dissertant

Didi, Jihane

Thesis advisor

Alawi, Abd al-Hamid Hamidi

University

Al Akhawayn University

Faculty

The School of Business Administration

University Country

Morocco

Degree

Master

Degree Date

2014

English Abstract

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.

Main Subjects

Business Administration

No. of Pages

56

Table of Contents

• APA
• MLA
• AMA

Language

English

Data Type

Arab Theses

Record ID

BIM-626300