فاعلية التنويع الاستثماري في إدارة مخاطر محفظة الأوراق المالية : دراسة قياسية لحالة بورصة الجزائر (2011-2016)
Other Title(s)
The effectiveness of the investment diversification in the portfolio risk management : an empirical study of the Algerian stock exchange (2011-2016)
Joint Authors
Source
Issue
Vol. 2016, Issue 10 (30 Jun. 2016), pp.7-30, 24 p.
Publisher
University of Eloued Faculty of Economics Commercial and Management Sciences
Publication Date
2016-06-30
Country of Publication
Algeria
No. of Pages
24
Main Subjects
Economy and Commerce
Financial and Accounting Sciences
Topics
- Finance
- Investments
- Financial markets
- Risk management
- Investment returns
- Stocks
- Algeria
- Twenty-first century
- Bourse
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%.
American Psychological Association (APA)
بلعزوز، بن علي ونعاس، مريم نجاة. 2016. فاعلية التنويع الاستثماري في إدارة مخاطر محفظة الأوراق المالية : دراسة قياسية لحالة بورصة الجزائر (2011-2016). رؤى اقتصادية،مج. 2016، ع. 10، ص ص. 7-30.
https://search.emarefa.net/detail/BIM-748285
Modern Language Association (MLA)
بلعزوز، بن علي ونعاس، مريم نجاة. فاعلية التنويع الاستثماري في إدارة مخاطر محفظة الأوراق المالية : دراسة قياسية لحالة بورصة الجزائر (2011-2016). رؤى اقتصادية ع. 10 (حزيران 2016)، ص ص. 7-30.
https://search.emarefa.net/detail/BIM-748285
American Medical Association (AMA)
بلعزوز، بن علي ونعاس، مريم نجاة. فاعلية التنويع الاستثماري في إدارة مخاطر محفظة الأوراق المالية : دراسة قياسية لحالة بورصة الجزائر (2011-2016). رؤى اقتصادية. 2016. مج. 2016، ع. 10، ص ص. 7-30.
https://search.emarefa.net/detail/BIM-748285
Data Type
Journal Articles
Language
Arabic
Notes
يتضمن مراجع ببليوجرافية : ص. 30
Record ID
BIM-748285