Optimization of the CNSS’ portfolio under value-at-risk-based constraints

Dissertant

Sebti, Zaynab

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

Financial institutions around the world are using very sophisticated tools to assess their daily risk.

However, most of the Moroccan companies base their portfolio selection on arbitrage techniques while the use of more elaborate methods would not only maximize their profit, but would also provide them with solutions to their financial issues.

This research aims to show the impact of the use of one such method, the Value-at-Risk (VaR) technique, in portfolio optimization in one of the largest Moroccan companies: the CNSS.

This study shows that the use of the VaR as a constraint to Markowitz model after forecasting expected returns and variances through ARMA-GARCH leads to better results than those obtained by the CNSS’ portfolio selection methods.

Keywords: portfolio optimization, Markowitz, forecasting, ARMA-GARCH, Value-at-Risk.

Main Subjects

Business Administration
Financial and Accounting Sciences

Topics

• Financial institutions
• Management
• Investments
• Morocco

No. of Pages

42

Table of Contents

• APA
• MLA
• AMA

Language

English

Data Type

Arab Theses

Record ID

BIM-629202