Optimal portfolio and performance-risk metric: A study on Saudi Stock Market | ASJP

مجلة البشائر الاقتصادية
Volume 7, Numéro 2, Pages 833-848
2021-08-01

Optimal Portfolio And Performance-risk Metric: A Study On Saudi Stock Market

Authors : Tahi Abderrahmane . Djebouri Mohammed .

Abstract

The aim of this study is to estimate the optimal portfolio weights for the mean-variance efficient optimal portfolio using linear programming technique for single and multi-period using rebalance technique, then compare the performances and risk metrics with the equal-weighted portfolio, we used in performance metrics Sharpe and Treynor ratios, CAPM Alpha and Beta, and for the risk metrics VaR and CVaR. We found that the MV optimal portfolio performed better and less risky than the equal-weighted portfolio for both single and multi-periods.

Keywords

Mean-Variance optimization ; Rebalance technique ; Performance metric ; Risk metric ; Value at Risk ; Conditional Value at Risk

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