Comparing portfolios built according to the cutting edge model with portfolios built according to linear programming, an applied study in some companies listed in the DAX30 index

Abstract

The research aims to achieve the philosophical contribution to the investment portfolio theory and its construction models by building and analyzing a portfolio using the cut-off model and building another portfolio using linear programming according to the (Roy) model in some companies listed in the DAX30 index and evaluating it to determine which model is the best in achieving alignment between returns And the risk, as the data of (10) companies included in the DAX30 index were selected in the economic sectors and according to the length of the period of their inclusion in the monthly sessions of closing prices for the period from 1/1/2015 to 31/12/2020, and the research came out with a number of conclusions, the most important of which is that the portfolio Based on the cut-off model, it is superior to the portfolio based on the linear programming model in DAX30 according to the investor's preferences, and the researchers suggested using linear programming as a basic model when forming portfolios, because it is a simple and uncomplicated model compared to the cut-off model