The Selection of Financial Potfolios

Abstract

Since the release of the Saudi government's Vision 2030, Saudi Arabia has changed substantially in terms of reducing its reliance on oil as a source of revenue and diversifying its income. This paper focuses on applying modern portfolio theory to the public investment fund's investments while accounting for risk and return. Several research that have been conducted on the idea of having an optimal portfolio are mentioned in Chapter 2. Chapter 3 discusses the companies in which the public investment fund has invested. I was able to find data for 31 companies from the entire public investment fund portfolio and describe how much they invested and how much ownership they have in each. The report in Chapter 4 discusses how modern portfolio theory is computed with only three assets and how to utilise Excel's solver function for a large number of assets. In Chapter 5, the outcomes of various scenarios applied are provided for cases with maximum weight limitations and cases without these constraints. The results are discussed in further detail in Chapter 6.