Choix de portefeuille: comparaison des différentes stratégies

Trabelsi, Mohamed Ali (2010): Choix de portefeuille: comparaison des différentes stratégies. Published in: Editions Universitaires Européennes No. ISBN: 978-613-1-55044-7 (1 December 2010): pp. 1-324.

Abstract

Our objective is to present to investors a method allowing them to form a portfolio of title in order to generate a profit while minimizing the risk due to the stock course fluctuations. For that to make, we presented the different strategies of portfolio choice allowing investors to beat the market. These strategies are based on the PER effect, the size effect, the overreaction effect and the contradiction effect. To shortcoming a comparative survey, we showed that the strategy of contradiction is best on the Tunisian market on the period 1991-1999. However, this present inherent limit strategy to insufficiencies observed in hypotheses formulated by Conrad, Hameed and Niden [1994] and that prove to be inapplicable in the emergent markets. For it we presented a new strategy that we called weighted overreaction strategy. This strategy proved to be more effective than the other on the Tunisian market and surmounted limits met at the time of the strategy of contradiction.

• Item Type: MPRA Paper
• English Title: Portfolio selection: comparison of different strategies
• Language: French
• Keywords: Stock anomalies, Aversion to risk, Stochastic dominance, Efficiency of markets, Measures of performance, Models of assessment, Contrarian strategies, Theory of utility.
• Subjects: G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice ; Investment Decisions; G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates; G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency ; Event Studies ; Insider Trading; G - Financial Economics > G1 - General Financial Markets > G19 - Other

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