Maximization of the Sharpe ratio of CNSS’s portfolio under value at risk based constraint using ARMA-GARCH to forecast the returns and variances

Dissertant

Kabbaj, Tahar

Thesis advisor

Alawi, Abd al-Hamid Hamidi

University

Al Akhawayn University

Faculty

The School of Business Administration

University Country

Morocco

Degree

Master

Degree Date

2016

English Abstract

The present paper is an extended work of the studies that have been conducted by three of Al Akhawayn University in Ifrane’s graduate students in partial fulfilment of their MBA degree.

The aim of these earlier studies was to optimize the portfolio of CNSS (the public entity in charge of social security in Morocco).

The technics that were used in the papers are as follows: 1) Optimization through ARMA-GARCH and Sharpe ratio based constraints.

2) Optimization using Markowitz portfolio theory and value at risk constraints.

3) Optimization using Markowitz portfolio theory under Sharpe ratio based constraints.

Since the findings of those papers were able to enhance the portfolio of CNSS, the present paper will try to somehow combine their methods for the sake of achieving a better portfolio performance.

Basically, this paper investigates the maximization of the Sharpe ratio of CNSS’s portfolio under Value at Risk based constraint using ARMA-GARCH to forecast the returns and variances.

The findings of this study have shown that there is a possibility of improving not only the Sharpe ratio of CNSS’s portfolio, but also the compounded return and standard deviation under unconstrained ARMA GARCH (2.2) forecasts and optimization of weights allocation

Main Subjects

Economics & Business Administration

No. of Pages

60

Table of Contents

• APA
• MLA
• AMA

Language

English

Data Type

Arab Theses

Record ID

BIM-775309