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La gestion indicielle et la théorie des moyennes

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  • Christian Walter

Abstract

[fre] On avance l’hypothèse selon laquelle la gestion indicielle passive représente la résurgence dans la finance moderne de la théorie des moyennes de Quételet (1835 -1869). On montre d’abord que la théorie des choix de portefeuille et la décomposition canonique du risque en finance (systématique et spécifique) sont dues à une intrusion non contrôlée de la théorie des erreurs (1809) dans les travaux de Markowitz puis de Sharpe. Puis on montre que le chemin qui conduit la profession de gestionnaire à indexer massivement les gestions d’actifs correspond intellectuellement à la mutation de la théorie des erreurs en théorie des moyennes. On suggère pour finir une sortie de l’indexation massive dans la gestion des portefeuilles. . Classification JEL : G11, G14 [eng] Indexed management and averages theory . One hypothesis assumes that indexed passive management is a resurgence of Quételet’s (1835-1869) averages theory in the modern finance. First the author shows that the portfolios choice theory and the canonical breaking up of financial risk are due to an interference of errors theory (1809) in Markowitz and Sharpe studies. Then the author explains that the massive trend of indexed asset management intellectually squares with the change of errors theory in averages theory. At last, he suggests stopping massive indexed portfolio management. . JEL classification : G11, G14

Suggested Citation

  • Christian Walter, 2005. "La gestion indicielle et la théorie des moyennes," Revue d'Économie Financière, Programme National Persée, vol. 79(2), pages 113-136.
    • Handle: RePEc:prs:recofi:ecofi_0987-3368_2005_num_79_2_3974
    DOI: 10.3406/ecofi.2005.3974
    Note: DOI:10.3406/ecofi.2005.3974
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    1. Jovanovic, Franck & Schinckus, Christophe, 2017. "Econophysics and Financial Economics: An Emerging Dialogue," OUP Catalogue, Oxford University Press, number 9780190205034.

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    More about this item

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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