Risk Minimization of Financial Assets Portfolio
<p>The minimization of the portfolio of financial assets has a particular interest in the field of finance. In this context, several approaches have been proposed to contribute to the solution of this problem which Markowitz approach is the most popular. In this paper, we propose a new approac...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
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EconJournals
2019-04-01
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| Series: | International Journal of Economics and Financial Issues |
| Online Access: | https://www.econjournals.com/index.php/ijefi/article/view/5240 |
| _version_ | 1797921821765402624 |
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| author | Mostafa El Hachlouf Mohammed El Haddad Faris Hamza Meriem Aboulethar |
| author_facet | Mostafa El Hachlouf Mohammed El Haddad Faris Hamza Meriem Aboulethar |
| author_sort | Mostafa El Hachlouf |
| collection | DOAJ |
| description | <p>The minimization of the portfolio of financial assets has a particular interest in the field of finance. In this context, several approaches have been proposed to contribute to the solution of this problem which Markowitz approach is the most popular. In this paper, we propose a new approach to minimize the risk of portfolio that measured by a value at risk (VaR) using neural networks. The assets of this portfolio are invested in a market which the fluctuations follow a normal distribution. The minimization procedure is done after the calculation of mathematical explicit formula of Value at Risk (VaR) using the Black-Scholes stochastic process for these portfolios, whichits structure remains constant over the considered time horizon.</p><p><strong>Keywords: </strong>Value at Risk; Neural Networks; Portfolio Risk; Black-Scholes; Stochastic Process; Normal Distribution.<strong></strong></p><p><strong>JEL Classifications: </strong>C61;C63;C15 <strong></strong></p> |
| first_indexed | 2024-04-10T14:21:34Z |
| format | Article |
| id | doaj.art-30b93db5ded5466fa8cf02147761ed07 |
| institution | Directory Open Access Journal |
| issn | 2146-4138 |
| language | English |
| last_indexed | 2024-04-10T14:21:34Z |
| publishDate | 2019-04-01 |
| publisher | EconJournals |
| record_format | Article |
| series | International Journal of Economics and Financial Issues |
| spelling | doaj.art-30b93db5ded5466fa8cf02147761ed072023-02-15T16:09:16ZengEconJournalsInternational Journal of Economics and Financial Issues2146-41382019-04-01755615643862Risk Minimization of Financial Assets PortfolioMostafa El Hachlouf0Mohammed El Haddad1Faris Hamza2Meriem Aboulethar3Faculty of Legal, Economic and Social Sciences-Agdal, University of Mohamed V– Rabat, MoroccoFaculty of Legal, Economic and Social Sciences-Agdal, University of Mohamed V– Rabat, MoroccoTetouan Polydisciplinary Faculty, UniversityAbdelmalek Essaâdi, MoroccoFaculty of Legal, Economic and Social Sciences Ain Sebaa, University of Hassan II– Casablanca<p>The minimization of the portfolio of financial assets has a particular interest in the field of finance. In this context, several approaches have been proposed to contribute to the solution of this problem which Markowitz approach is the most popular. In this paper, we propose a new approach to minimize the risk of portfolio that measured by a value at risk (VaR) using neural networks. The assets of this portfolio are invested in a market which the fluctuations follow a normal distribution. The minimization procedure is done after the calculation of mathematical explicit formula of Value at Risk (VaR) using the Black-Scholes stochastic process for these portfolios, whichits structure remains constant over the considered time horizon.</p><p><strong>Keywords: </strong>Value at Risk; Neural Networks; Portfolio Risk; Black-Scholes; Stochastic Process; Normal Distribution.<strong></strong></p><p><strong>JEL Classifications: </strong>C61;C63;C15 <strong></strong></p>https://www.econjournals.com/index.php/ijefi/article/view/5240 |
| spellingShingle | Mostafa El Hachlouf Mohammed El Haddad Faris Hamza Meriem Aboulethar Risk Minimization of Financial Assets Portfolio International Journal of Economics and Financial Issues |
| title | Risk Minimization of Financial Assets Portfolio |
| title_full | Risk Minimization of Financial Assets Portfolio |
| title_fullStr | Risk Minimization of Financial Assets Portfolio |
| title_full_unstemmed | Risk Minimization of Financial Assets Portfolio |
| title_short | Risk Minimization of Financial Assets Portfolio |
| title_sort | risk minimization of financial assets portfolio |
| url | https://www.econjournals.com/index.php/ijefi/article/view/5240 |
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