فاعلية التنويع الاستثماري في إدارة مخاطر محفظة الأوراق المالية : دراسة قياسية لحالة بورصة الجزائر (2011-2016)‎

Abstract EN

This study aimed at the relationship between return and risk test and determine whether there was the impact of systemic risk (market) shares Algiers Stock Exchange, as well as the extent of the market's ability to investor compensation premium risk in exchange for their investment allocation, this study has been applied to Algeria's index during the period between 23/05/2011 to 18/05/2016 using the Generalized Autoregressive Conditional Heteroscedasticity model- GARCH.

The study showed that there is a positive relationship between risk and reward in Algeria Stock Exchange for a period of study, The high and low index is associated with elevated and low volatility returns, that is, increase the risk leads to an increase in the amount of the risk premium that investors demand to compensate for the amount of the additional risks they are exposed.

The research found the possibility of building an optimal investment portfolio in Algeria Stock Exchange using the Solver programming, which allows access to risk is estimated at 0.475% and return is estimated at 0.0097%.