TITLE:
Using Return and Risk Model for Choosing Perfect Portfolio Applied Study in Cairo Stock Exchange
AUTHORS:
Essam Al Arbed
KEYWORDS:
Game Theory, Stochastic and Linear Programming, Perfect Portfolio, Portfolio Theory, Returns and Risks
JOURNAL NAME:
American Journal of Operations Research,
Vol.14 No.1,
January
22,
2024
ABSTRACT: Modern financial theory, commonly known as portfolio theory, provides an
analytical framework for the investment decision to be made under uncertainty.
It is a well-established proposition in portfolio theory that whenever there is
an imperfect correlation between returns risk is reduced by maintaining only a
portion of wealth in any asset, or by selecting a portfolio according to
expected returns and correlations between returns. The
major improvement of the portfolio approaches over prior received theory is the
incorporation of 1) the riskiness of an asset and 2) the
addition from investing in any asset. The
theme of this paper is to discuss how to propose a new mathematical model like
that provided by Markowitz, which helps in choosing a nearly perfect portfolio
and an efficient input/output. Besides applying this model to reality, the researcher uses game theory, stochastic and
linear programming to provide the model proposed and then uses this model to
select a perfect portfolio in the Cairo Stock
Exchange. The results are fruitful and the researcher considers this model a
new contribution to previous models.