Risk Optimization of the CNSS' Portfolio Using a Return-Constrained Markowitz Model

Abstract

In Morocco, the private pension fund is managed mainly by the National Social Security Fund (CNSS). CNSS is one of the most active institutional investors in the local market of Collective Investment in Transferable Securities Directives (UCITS) as it has a very important investment portfolio of cash surplus, in shares or units of UCITS. This work is a first step in the study of how modern techniques of portfolio management can be adopted to allow the establishment of a process that helps to monitor and optimize the investment decisions. In fact the results show a decrease in the variance and an improvement in the rate of return.