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La gestion indicielle et la théorie des moyennes

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  • Christian Walter

    (LAP - Laboratoire d’anthropologie politique – Approches interdisciplinaires et critiques des mondes contemporains, UMR 8177 - EHESS - École des hautes études en sciences sociales - CNRS - Centre National de la Recherche Scientifique)

Abstract

Indexed management and averages theory One hypothesis assumes that indexed passive management is a resurgence of Quetelet'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.

Suggested Citation

  • Christian Walter, 2005. "La gestion indicielle et la théorie des moyennes," Post-Print hal-04529992, HAL.
    • Handle: RePEc:hal:journl:hal-04529992
    DOI: 10.3406/ecofi.2005.3974
    Note: View the original document on HAL open archive server: https://hal.science/hal-04529992
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    References listed on IDEAS

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    1. William F. Sharpe, 1963. "A Simplified Model for Portfolio Analysis," Management Science, INFORMS, vol. 9(2), pages 277-293, January.
    2. Louis K. C. Chan & Hsiu-Lang Chen & Josef Lakonishok, 2002. "On Mutual Fund Investment Styles," The Review of Financial Studies, Society for Financial Studies, vol. 15(5), pages 1407-1437.
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    Cited by:

    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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