ALLOCATION DYNAMIQUE D’UN PORTEFEUILLE ACTION : DEUX ESSAIS D’IMPLEMENTATION DU MODELE BLACK-LITTERMAN ET L’OPTIMISATION PAR ESSAIM PSO

Mohamed BELAHSEN, Al Mahdi KORAICH, Fouad AMARA

Résumé


In this paper, we improve new tools for financial decision-making based on the analysis of the performance of the portfolios using the optimization models (Particle Swarm Optimization) and Bayesian analysis (Black -Litterman) considered an extension of the CAPM. In order to demonstrate the efficiency of these new constraint optimization models in finance, our article is focused in the first part, on a theoretical analysis of the models used in the management process. The second part will be dedicated to an empirical study conducted on all securities of the Casablanca Stock Exchange, demonstrating the advantages and disadvantages of each adopted approach implemented under MATLAB.


Mots-clés


Strategic Allocation, Tactical Allocation, Particle Swarm Optimization (PSO), Black-Litterman, Markowitz, Multi-objective (MOPSO). JEL classification: C11, C13,C22, C41, C51, C61, G11.

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ISSN : 2489-1290

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