Mean variance optimization in the Moroccan market under shariah compliant regulations
Dissertant
Thesis advisor
Alawi, Abd al-Hamid Hamidi
Abrashi, Jawad
University
Al Akhawayn University
Faculty
The School of Business Administration
University Country
Morocco
Degree
Master
Degree Date
2015
English Abstract
This paper will use a return constrained mean-variance Markowitz model to minimize the variance of two portfolios under a constrained portfolio expected return.
The first portfolio will be optimized in a traditional way, and the second portfolio will be optimized under Shariah compliant trading.
This optimization will evaluate the two portfolios related to the assets’ holding period and short selling in the Moroccan Stock Market.
Historical daily stock rates of returns for the companies included in the Madex Index will be used for the analysis.
This study will use mainly the minimum variance optimization, and many theoretical literatures highlighted the importance of Markowitz contribution to minimizing risks of portfolios for investors under the diversification advantage.
Besides, this research will provide risk averse investors an idea on how portfolio optimization under Shariah compliant trading is performing compared to the portfolio without these regulations.
The main results show that the traditional portfolio has highly volatile rate of return compared to the Shariah compliant portfolio which offers a very stable rate of return that almost tracks the Madex Index.
Indeed, this will be a useful tool for the analysis of a portfolio since the Shariah compliant trading is soon an emerging banking system in Morocco.
Main Subjects
Financial and Accounting Sciences
Religion
Islamic Studies
Topics
- Islamic jurisprudence
- Foundations of Islamic jurisprudence
- Management
- Profits
- Investments
- Financial markets
- Risk management
- Stockholders
- Stocks
- Morocco
- Investment portfolio
No. of Pages
66
Table of Contents
Table of contents.
Abstract.
Chapter One : Introduction.
Chapter Two : Literature review.
Chapter Three : Research question.
Chapter Four : Data collection and methodology.
Chapter Five : Results and interpretations.
Chapter Six : Limitations.
Chapter Seven : Conclusion and future work.
References.
American Psychological Association (APA)
al-Bukari, Insaf. (2015). Mean variance optimization in the Moroccan market under shariah compliant regulations. (Master's theses Theses and Dissertations Master). Al Akhawayn University, Morocco
https://search.emarefa.net/detail/BIM-626741
Modern Language Association (MLA)
al-Bukari, Insaf. Mean variance optimization in the Moroccan market under shariah compliant regulations. (Master's theses Theses and Dissertations Master). Al Akhawayn University. (2015).
https://search.emarefa.net/detail/BIM-626741
American Medical Association (AMA)
al-Bukari, Insaf. (2015). Mean variance optimization in the Moroccan market under shariah compliant regulations. (Master's theses Theses and Dissertations Master). Al Akhawayn University, Morocco
https://search.emarefa.net/detail/BIM-626741
Language
English
Data Type
Arab Theses
Record ID
BIM-626741
