EconPapers    
Economics at your fingertips  
 

Choix de portefeuille: comparaison des différentes stratégies

Portfolio selection: comparison of different strategies

Mohamed Ali Trabelsi

MPRA Paper from University Library of Munich, Germany

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.

Keywords: Stock anomalies; Aversion to risk; Stochastic dominance; Efficiency of markets; Measures of performance; Models of assessment; Contrarian strategies; Theory of utility. (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 G19 (search for similar items in EconPapers)
Date: 2010-12-01, Revised 2010-12-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Published in Editions Universitaires Européennes ISBN: 978-613-1-55044-7 (2010): pp. 1-324

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/82946/1/MPRA_paper_82946.pdf original version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:82946

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().

 
Page updated 2025-03-19
Handle: RePEc:pra:mprapa:82946