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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
Thesis advisor
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
Table of contents.
Abstract.
Introduction.
Chapter One : Literature review.
Chapter Two : Methodology.
Chapter Three : Results and interpretation.
Chapter Four : Limitations and recommendations.
Chapter Five : Conclusion:
References.
American Psychological Association (APA)
Kabbaj, Tahar. (2016). Maximization of the Sharpe ratio of CNSS’s portfolio under value at risk based constraint using ARMA-GARCH to forecast the returns and variances. (Master's theses Theses and Dissertations Master). Al Akhawayn University, Morocco
https://search.emarefa.net/detail/BIM-775309
Modern Language Association (MLA)
Kabbaj, Tahar. Maximization of the Sharpe ratio of CNSS’s portfolio under value at risk based constraint using ARMA-GARCH to forecast the returns and variances. (Master's theses Theses and Dissertations Master). Al Akhawayn University. (2016).
https://search.emarefa.net/detail/BIM-775309
American Medical Association (AMA)
Kabbaj, Tahar. (2016). Maximization of the Sharpe ratio of CNSS’s portfolio under value at risk based constraint using ARMA-GARCH to forecast the returns and variances. (Master's theses Theses and Dissertations Master). Al Akhawayn University, Morocco
https://search.emarefa.net/detail/BIM-775309
Language
English
Data Type
Arab Theses
Record ID
BIM-775309