Optimization of the CNSS’ portfolio under value-at-risk-based constraints
Dissertant
Thesis advisor
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
No. of Pages
42
Table of Contents
Table of contents.
Abstract.
Chapter One : Introduction.
Chapter Two : Objective of the research.
Chapter Three : Literature review.
Chapter Four : Presentation of the CNSS’ portfolio.
Chapter Five : Methodology.
Chapter Six : Results and analysis.
Chapter Seven : Limitations.
Conclusion.
References.
American Psychological Association (APA)
Sebti, Zaynab. (2014). Optimization of the CNSS’ portfolio under value-at-risk-based constraints. (Master's theses Theses and Dissertations Master). Al Akhawayn University, Morocco
https://search.emarefa.net/detail/BIM-629202
Modern Language Association (MLA)
Sebti, Zaynab. Optimization of the CNSS’ portfolio under value-at-risk-based constraints. (Master's theses Theses and Dissertations Master). Al Akhawayn University. (2014).
https://search.emarefa.net/detail/BIM-629202
American Medical Association (AMA)
Sebti, Zaynab. (2014). Optimization of the CNSS’ portfolio under value-at-risk-based constraints. (Master's theses Theses and Dissertations Master). Al Akhawayn University, Morocco
https://search.emarefa.net/detail/BIM-629202
Language
English
Data Type
Arab Theses
Record ID
BIM-629202