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Substitution et complémentarité des actifs financiers: le cas Moyenne-Variance

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  • Jean-Michel Courtault

    (CEPN - Centre d'Economie de l'Université Paris Nord (ancienne affiliation) - UP13 - Université Paris 13 - CNRS - Centre National de la Recherche Scientifique)

Abstract

Dans cet article, nous montrons comment il est possible d'améliorer la méthodologie de l'économétrie du portefeuille en transposant les résultats de la théorie du consommateur à la théorie du portefeuille. Nous montrons la totalité des propriétés des demandes d'actifs financiers par rapport aux prix, aux rendements espérés et aux variances covariances des rendements des actifs. L'utilisation de ces propriétés permet d'augmenter substantiellement le nombre de degrés de liberté ce qui devrait permettre d'améliorer l'estimation économétrique des systèmes de demande d'actifs financiers. On peut démontrer de manière beaucoup plus simple certaines des propriétés des demandes d'actifs grâce aux méthodes de la dualité. La connaissance des propriétés de la fonction d'espérance globale devrait permettre également d'estimer de nouveaux systèmes de demande émanant des investisseurs rationnels.

Suggested Citation

  • Jean-Michel Courtault, 1993. "Substitution et complémentarité des actifs financiers: le cas Moyenne-Variance," CEPN Working Papers halshs-00447527, HAL.
    • Handle: RePEc:hal:cepnwp:halshs-00447527
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00447527
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    References listed on IDEAS

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    1. Jean-Michel COURTAULT, 1994. "Économétrie du portefeuille : l’approche de l’information," Discussion Papers (REL - Recherches Economiques de Louvain) 1994024, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
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