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Editions Universitaires Europeennes Les Stratégies dynamiques de couverture des portefeuilles-Actions: l'efficacité des stratégies dynamiques de couverture des portefeuilles-Actions sur le marché dérivé

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Description

Les stratégies développées tiennent compte à la fois de l'environnement réel du marché et de l'écart qui peut résulter entre la théorie et l'observation de cet environnement. Nous avons mis l'accent sur les difficultés de l'élaboration de ces stratégies et nous avons proposé les critères de décision nécessaires au renforcement de leur efficacité. En tenant compte des déséquilibres constatés sur le marché, nous avons mis en évidence les améliorations possibles des revenus théoriques de la couverture. Cet aspect relatif aux opportunités d'arbitrage apparaît en filigrane des développements des stratégies dynamiques qu'un investisseur rationnel peut tenter de saisir. Nous avons appliqué les techniques d'assurance de portefeuille à un portefeuille d'actions sur le marché français. Les résultats des simulations nous permettent dès lors de discuter de la conformité des différentes techniques d'assurance aux propriétés d'optimalité, mais aussi de construire un certain nombre d'indicateurs de performance afin de discuter de l'intérêt et l'efficacité des différentes stratégies les unes vis-à-vis des autres. About the Author M. Marouen CHEHOUD est titulaire d'une maitrise en Sc. Eco de l'Univ. de Nancy-II et d'un Diplôme des Études Approfondies (D.E.A)en Finances et Économétrie de l'Univ. Paris-II. Depuis 2006, Monsieur CHEHOUD est Docteur en Sciences économiques de l'Université Panthéon-Assas (Paris-II).

Product Specifications

Format
paperback
Domain
Amazon UK
Release Date
28 May 2010
Listed Since
01 June 2010

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