Author name:
علي راضي محيسن علي الدليمي
Supervisor name:
خيري خليل سليم رميض الساطوري
University location:
Anbar
Abstract:
يعد اسلوب البرمجة الخطية من اكثر الاساليب الرياضية المستخدمه في مجال اتخاذ القرارات التي تهدف الى الاستخدام الامثل للموارد المتاحة لتحقيق الاهداف المطلوبة ولكن يعاب على مثل هذه النماذج الخطية تجاهلها لظروف المخاطرة التي طالما ترافق عملية اتخاذ القرار لتحد | Linear programming approach is the most mathematical methods used in the decision - making, which aims to make the best use of available resources to achieve the required goals, but shame on such linear models to ignore the circumstances of the risk associated with decision - making process to determine the optimum combination, Markowitze have been developed a model linear programming to the quadratic programming model, which is the structural framework or evolutionary analysis of risk.As the decision maker can choose between return and risk on portfolios on the basis of the amount of expected return and the level of risk contained in each portfolio, and this model is the minimization of risk for efficient portfolios with an return below a certain level of risk. The aim of this study was to determine the optimal portfolio in the Saudi stock market, by employing the quadratic programming approach as one of the methods to measure the relationship between risk and return. Which have given great attention by investors in the financial field. Therefore, this study has included five chapters : the first chapter included the research methodology and previous studies, while the second chapter discusses the theoretical framework, which included three sections, where the first section, referred to the concept of risk and return on investment Financial, while the second section dealt with the theory of optimal investment portfolio, and the third section, addressed to the theoretical framework for quadratic programming model, Chapter three divided into three sections, the first section has singled out, the financial market concept and division, while the second section, have included historical record of Saudi Arabia market stock, while the third section included the analysis of Saudi stock market data , and the fourth chapter are interested in Practical aspects of the study through the formulation and solving quadratic programming model, where the first section, was interested in the formulation and solve the quadratic programming for portfolio model , the second topic dealt with the sensitivity analysis of the results derived, Finally, Chapter five dealt with conclusions and recommendations, The results have been showed research hypotheses, which states that the use of quantitative mathematical methods lead to efficient optimization. and Investment diversification in the companies of Saudi stock market will lead to reduce risk and achieve reasonable returns, and there is a direct positive correlation between return and risk in the Saudi stock market according to non - linear function (quadratic). The quadratic programming model were used to determine the risk and return of portfolio the analysis and measurement concluded to determine the optimal portfolio in the Saudi stock market, from results, we find that The investors is employing 25% of its assets in shares of Bank of Aljazira, 16.2709% in the shares of Saudi Investment Bank, 4.8584% in the shares of Omantien Company of Saudi Arabia, 25% in shares National Company for manufacturing and metal foundries, 3.8708% in the shares of Alemraai Company, 25% in the shares of Qassim Cement Company. And he does not employ anything from money in Riyadh Bank, Saudi British Bank, Samba Financial Group, Saudi hotels Company, real estate company in Saudi Arabia, Saudi Public Transport Company, Riyadh Reconstruction Company, Ahmed Hassan Fitaihi and its partners, Saudi Arabian Fertilizer Company, a manufacturer of materials packaging, Zamil Industrial Investment Company, Yamama Saudi Cement Co. Ltd., Cement Company Saudi Yanbu Cement Company, Eastern Province Cement Company, National Company for Agricultural Development, Qassim Agricultural Company, Bisha Agricultural Development, so that he can achieve the desired return of 15% on stocks acquired from banks and companies referred to. Note that the portfolio achieved a variance of 0.0547% $ and this means that the standard deviation equal to 2.3%. In addition to giving an opportunity for the investor to choose the best portfolio in his Opinion.
