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Les effets de substitution et de richesse de la théorie du portefeuille : une mise au point

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  • Jean-Michel Courtault

Abstract

[eng] Substitution and wealth effects in portfolio theory : a clarification. . We show in this paper that the approach pioneered by P. Diamond and M. Yaari [1972] for the study of the properties of asset demands is the only one which can be shown compatible with a correct definition of wealth effects. We derive a compensating method for wealth effects, a method generalising and demonstrating rigourously the one put forward by G. Davis [1989], which enables us to find ail the properties of substitution effects under uncertainty. This method enables us as well to study the properties of asset demands with respect to the caracteristics of risk and return of the financial assets. [fre] Les effets de substitution et de richesse de la théorie du portefeuille. Une mise au point. . Nous montrons dans cet article que l'approche mise en avant par P. Diamond et M. Yaari [1972] pour l'étude des propriétés des demandes d'actifs financiers est la seule qui soit compatible avec une définition correcte des effets de richesse. Nous en déduisons une méthode de compensation des effets de richesse, méthode généralisant et démontrant de façon rigoureuse celle préconisée par G. Davis [1989], qui nous permet de mettre au jour la totalité des propriétés des effets de substitution compensés dans l'incertain. Cette méthode nous permet également d'étudier les propriétés des demandes d'actifs par rapport aux caractéristiques de rendement et de risque des actifs. "

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  • Jean-Michel Courtault, 1992. "Les effets de substitution et de richesse de la théorie du portefeuille : une mise au point," Revue Économique, Programme National Persée, vol. 43(6), pages 983-1006.
    • Handle: RePEc:prs:reveco:reco_0035-2764_1992_num_43_6_409411
    DOI: 10.3406/reco.1992.409411
    Note: DOI:10.3406/reco.1992.409411
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    1. Ardeshir J. Dalal, 1983. "Comparative Statics and Asset Substitutability/Complementarity in a Portfolio Model: A Dual Approach," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 50(2), pages 355-367.
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    7. Courakis, A S, 1974. "Clearing Bank Asset Choice Behaviour: A Mean Variance Treatment," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 36(3), pages 173-201, August.
    8. Davis, George K, 1989. "Income and Substitution Effects for Mean-Preserving Spreads," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 30(1), pages 131-136, February.
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    1. Jean-Michel Courtault, 1993. "Substitution et complémentarité des actifs financiers: le cas Moyenne-Variance," Working Papers halshs-00447527, HAL.

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