Construction d’un portefeuille efficient : Application empirique à partir d’un échantillon de valeurs cotées à la Bourse des Valeurs de Casablanca

El Bouhadi, A. and Ounir, A. and El Maguiri, M. (2008): Construction d’un portefeuille efficient : Application empirique à partir d’un échantillon de valeurs cotées à la Bourse des Valeurs de Casablanca.

Abstract

In this paper, we try to build an efficient portfolio among four possible portfolios based on the some 31 Casablanca listed shares. Our analysis concerns the risk which arises from the Markowitz mean-variance approach. Our work method will be implemented as following: first of all, we will test the normality and the stationarity of 31 shares which have composed our sample; secondly we will review a theoretical literature about the optimal portfolio choices (based on the Markowitz mean-variance analysis). Thirdly and related to the practical part, we enumerate and emphasize the steps that lead to the construction of efficient portfolio. The presented modelling is used in order to optimally allocate the selected financial assets. The different methods of measurement of return, risk and the other statistical properties constitute, in fact, the pillars of companies sample listed analysis in the case of Casablanca Stock Exchange. Our purpose ends with the assets selection which allows us to choose the efficient portfolio. The selection process of efficient portfolio can be summarized in the following stages: the collection of data to be able to constitute our sample; the estimation of returns, of beta sensibility coefficients and risky assets of investment; the selection of efficient and profitable assets according to some criteria; the weighting coefficients allocation presenting the efficient border of portfolios. In this article and under the choice of companies sample composing our portfolios, we shall take into account, the shares monthly returns, the rate of dispersal around the average of returns, the covariance between assets (degree of interdependence between assets) and the type of sector that each company sets up (in order to highlight an analysis based on a disparity in achievement yields).

• Item Type: MPRA Paper
• English Title: THE efficient portfolio construction: an empirical investigation based on some listed shares in casablanca stock exchange
• Language: French
• Keywords: Portfolio Construction; Stationarity; Normality of Return; Risk; Efficient Portfolio; Markowitz Model; Casablanca Stock Exchange.
• Subjects: G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency ; Event Studies ; Insider Trading; G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates; G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice ; Investment Decisions; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C52 - Model Evaluation, Validation, and Selection; C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes

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