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Choix de portefeuille: comparaison des différentes stratégies
[Portfolio selection: comparison of different strategies]

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  • Trabelsi, Mohamed Ali

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.

Suggested Citation

  • Trabelsi, Mohamed Ali, 2010. "Choix de portefeuille: comparaison des différentes stratégies [Portfolio selection: comparison of different strategies]," MPRA Paper 82946, University Library of Munich, Germany, revised 01 Dec 2010.
  • Handle: RePEc:pra:mprapa:82946
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    1. Trabelsi, Mohamed Ali, 2006. "Les nouveaux modèles de décision dans le risque et l’incertain : quel apport ? [The new models of decision under risk or uncertainty : What approach?]," MPRA Paper 25442, University Library of Munich, Germany.
    2. Trabelsi, Mohamed Ali, 2008. "Sur-réaction sur le marché tunisien des actions : une investigation empirique [Overreaction on the Tunisian stock market: an empirical test]," MPRA Paper 26751, University Library of Munich, Germany.
    3. Trabelsi, Mohamed Ali, 2008. "Peut-on encore parler des mesures de performance ? [One is able again to speak of performance measures?]," MPRA Paper 25443, University Library of Munich, Germany.
    4. Trabelsi, Mohamed Ali, 2008. "Sur-réaction sur le marché tunisien des actions : une investigation empirique [Overreaction on the Tunisian stock market: an empirical test]," MPRA Paper 76925, University Library of Munich, Germany.

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    More about this item

    Keywords

    Stock anomalies; Aversion to risk; Stochastic dominance; Efficiency of markets; Measures of performance; Models of assessment; Contrarian strategies; Theory of utility.;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G19 - Financial Economics - - General Financial Markets - - - Other

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