تقييم أداء المحفظة المثلى غير المحوطة والمحوطة بالإستراتيجيات المتوازنة لعقود الخيارات المالية دراسة تطبيقية للسوق المالي السعودي للمدة 2010– 2020

IBRAHEEM MOHAMMED   HUSSAIN; **ADNAN SALEM  QASIM

doi:10.26682/hjuod.2023.26.1.77

IBRAHEEM MOHAMMED HUSSAIN * Dept. of Financial and Banking Sciences, College of Administration and Economics, Universiry of Duhok, Kurdistan Region-Iraq
**ADNAN SALEM QASIM ** College of Administration and Economics, Universiry of Mosul-Iraq

DOI: https://doi.org/10.26682/hjuod.2023.26.1.77

Keywords: financial options contracts, quadratic programming, optimal investment portfolio, Black-Scholes model, Long Call Butterfly strategy, Long Call Condor strategy, systemic and non-systemic risks, hedging

Abstract

The study aims to analyze the investment characteristics of a sample of Common stocks in the Saudi financial market for the period 2010-2020 according to the single index model in order to determine each of the expected rate of return and the alpha and beta coefficient and to find both systemic and non-systematic risks and variance as a measure of the total risk and the coefficient of variation, and then build the optimal investment portfolio through the use of Quadratic programming for the balanced investor who characterized majority and rationality and who balances return and risk and desires to obtain the highest return within an acceptable level of risk in order to reduce non-systematic risks , As for the systemic risks, which cannot be avoided by diversifying the components of the investment portfolio, they were hedged using balanced strategies for financial options contracts after These contracts are priced according to the Black-Scholes model, and both Long Call Butterfly and Long Call Condor strategies are covered; The research is based on the hypothesis that the portfolio hedged with balanced strategies for financial options contracts performs better than the performance of the unhedged portfolio and the performance of the market portfolio according to the binary return and risk , It was found through the results that the use of the quadratic programming method in allocating assets leads to improving the performance of the investment portfolio and reducing non-systematic risks, and that the use of an appropriate strategy for hedging financial options contracts leads to achieving a greater return and less risks than the unhedged portfolio, that is, according to which systemic risks can be hedged , It was also shown from the performance indicators that the performance of the optimal portfolio hedged with balanced strategies for financial options contracts is better than the performance of the optimal portfolio not hedged by these strategies and also better than the performance of the market portfolio.

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