Дисертації з теми "Gestion de portefeuille – Stratégie"
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Schintowski, Philippe. "La duplication d'option et la stratégie d'assurance de portefeuille." Paris 9, 1988. https://portail.bu.dauphine.fr/fileviewer/index.php?doc=1988PA090046.
Повний текст джерелаTrabelsi, Nader. "Options-allocation optimale de richesse et coûts de transaction : analyse de performance d'une stratégie de réplique d'une allocation standard d'actifs." Nice, 2008. http://www.theses.fr/2008NICE0017.
Повний текст джерелаThe main objective of this present work is to reveal new contributions of options for the optimal welfare of the investors and the global efficiency of the financial system. In the presence of transaction costs and for volatile rates of return, the dynamic investment seems expensive or in defect underestimated. The strategy Buy and Hold allows reducing the consequences of this cost, but also increases the loss of capital. In this work, we show that the introduction of options improves and stabilizes the incomes of certain policies in particular, assets optimal allocation. Our methodology bases on the principle of replication adopted by Black and Scholes (1973). In the context of Buy and Hold contained options, the replication of the standard allocation means optimizing two functions objectives: minimization of MSE (Mean Squared Errors) and minimization of WMSE (Weighted Mean Squared Errors). The selected portfolio Buy and Hold are those having a cost of replication lower than the costs forecasted by the dynamic investment. The tests on the efficiency of the replicated strategies concern, at first time, the optimal placement of an averted risk investor on horizon of 10 years. The options are supposed OTC, the settlement prices are approximate by a multiperiodic binomial tree. The first results bring to light the existence of several Buy and Hold containing options, more successful than the allocation based by Samuelson and Merton (1969). Supposing that the costs of transaction are proportional in the volumes of financial assets, the space of dynamic revision of portfolio is been defined by the presence of a region of non-activity. The analysis of the ex-ante management of profit-cost, allowed us to preview manager funds activities and their specific costs. The link of these management costs with the costs of replication supports the conception of a whole block of replicas portfolios more successful than the dynamic allocation of funds. The optimal behaviour of the economic agent, the diversification of capital in this particular case, is a function of the number, the type, as well as its position on the options. To fix his decision, he chooses, since the negotiation with his banker, one of the strategies maximizing his preferences, independently of the imperfections of the market. At the second time, the empirical evidence poses the case of a short-term investment, on the CAC 40 index and the call options of terms 6 months, launched on MONEP. The results prove the efficiency of the portfolio allowing the investor to have a terminal quasi-equal wealth in that waited by the standard allocation. A certain analogy was contested between the replicas strategies and certain mechanisms of covered products based on option and financial support, in this particular case the guaranteed capital, Covered Call writing and Protected Put
Jeannicot, Hélène Karine. "Les stratégies dynamiques de couverture des portefeuilles-actions." Aix-Marseille 3, 1991. http://www.theses.fr/1991AIX32014.
Повний текст джерелаThis study examines different strategies of dynamic stock portfolio hedging a distinction was made between the imperfectly diversified stock portolios and those portfolio efficiently diversified. All strategies are based on theoritical concepts and are systematically confronted to the real market environment. Consequently, their practical limits are displayed and some decision making criteria are proposed to improve their efficiency some strategies are compared when they meet identical goals, and it appears that the dominance of one of them is fonction of market contingencies. As all strategies impose the evaluation of the financial assets that compose the stock portfolio, the arbitrage opportunities appear in background of the developments, since a rational investor in a hedged position must try to seize the revenues of his hedging
Le, Flanchec Thibault. "Stratégie de gestion de portefeuille actions : de la conciliation de la performance financière et de la performance extra-financière." Electronic Thesis or Diss., La Rochelle, 2022. http://www.theses.fr/2022LAROD004.
Повний текст джерелаResponsible investment is a facet of market finance including two substructures: financial and ethical. This thesis seeks to combine these two bases, with a view to bringing out an equity portfolio management strategy combining financial and extra-financial performance. It is structured in four chapters, following a logic of structure and aiming at the same final goal. The first chapter consists of a logical-deductive study of financial theories and the various factors influencing the activity of portfolio management. The results indicate that the most financially responsible strategy and correlated to the real economy is Value-Quality. The second chapter is composed of a comparative study of the financial performance and the risk/return ratio of four Value-Quality portfolios with their investment universe. This study carried out on the French stock market for the period 1999-2019 seems to indicate that the financial markets are inefficient and that an investment strategy combining a low level of valuation and high profitability offers an abnormally high performance. The third chapter studies in a logical-deductive way the components of extra-financial analysis as well as the main related theories. The results indicate that the current extra-financial methods are victims of many limitations and lack clarity and materiality. The fourth chapter is composed of two studies. The first testing the extra-financial performance of SRI funds stipulates that these funds are unable to stand out from their investment universe in terms of climate and controversy. The second study consists of measuring the performance gap between a VQEF strategy and the investment universe. This last study allows us to indicate that it is possible to associate financial and extra-financial performance in a Value-Quality portfolio management strategy integrating an exclusion filter
Tchamengo, Mathias. "Stratégies statiques en finance." Dijon, 1998. http://www.theses.fr/1998DIJOS031.
Повний текст джерелаAymard-Martinot, Natacha. "Information et stratégies multimarchés." Chambéry, 2007. http://www.theses.fr/2007CHAML013.
Повний текст джерелаWithin the framework of this thesis, we will study the informational role of the prices between various financial markets. Indeed the current literature tends to distinguish informed agent and non informed agent (Admati (1989), Subrahmanian (1996)) and shows the weight of the latter in the pricing of the equilibrium price. This informational asymmetry is reflected on the quality of the price and its informational contents. Initially, we show that the price quality generates arbitrage opportunities within the framework of strategies of multimarket portfolios. The appearance of the derived markets gave to the foreground the hedging strategies with economic interpretations which follow. It appears of first importance to analyze the arbitrage possibilities between markets through a modelling, combining hedging and diversification and to evaluate the performance of such as the covered call writing and the protective put buying, improve the portfolio performance. In the second time, we are based on the study of the agents behaviour through the various markets in order to establish the informational role from a formal point of view as well as empirically. In this analysis we show that the positions taken by the operators translate their anticipations. With this intention we analyze all possible opportunities of the operators on the stock market and the options market. From the formalizing of these various alternatives, we propose a multimarket model enables deduction of the operators anticipations. Then we validate it on the English Exchange
Moraly, David. "Le métier de banque privée : stratégies et innovations." Paris 1, 2008. http://www.theses.fr/2008PA010043.
Повний текст джерелаChollet, Pierre. "Les bons de souscription d'actions : évaluation, stratégies d'exercice et construction d'un indice." Paris 9, 1993. https://portail.bu.dauphine.fr/fileviewer/index.php?doc=1993PA090052.
Повний текст джерелаEquity warrants are contingent claims issued by companies together with other securities (bonds, shares. . . ) Or alone. They answer two aims : some middle size companies expect to finance their growth, when biggest companies try to strengthen their capital control. Warrants provide a delayed increase of the capital of the firm, and this one is responsible of a dilution effect. These financial securities have characteristics which differ from call-options, especially in regard to their usual longest maturity. So, a specific approach is justified for valuation of warrants and exercise strategies. The models based on Black-Scholes option pricing model can be used only for valuation of warrants before their maturity. The formula must be corrected by a dilution factor. The valuation of warrants after their issue. Imply the use of option models on the equity of the firm and not on the common stock. The strategies of simultaneous exercise of warrants at maturity are optimal only in few cases. The sequential exercise strategies are usually the best ones. The analysis of the French market shows that warrants are in most cases exercised before their maturity. The exercise decision appears to be. .
Fereres, Yohan. "Stratégies d’arbitrage systématique multi-classes d'actifs et utilisation de données hétérogènes." Thesis, Paris Est, 2013. http://www.theses.fr/2013PEST0075/document.
Повний текст джерелаFinancial markets evolve more or less rapidly and strongly to all kind of information depending on time period of study. In this context, we intend to measure a broad set of information influence on systematic multi-assets classes “euro neutral” arbitrage portfolios either for “naive” diversification and optimal diversification. Our research focuses on systematic tactical asset allocation and we group these information under the name of heterogeneous data (market data and “other market information”). Market data are “end of day” asset closing prices and “other market information” gather economic cycle, sentiment and volatility indicators. We assess the influence of a heterogeneous data combination on our arbitrage portfolios for a time period including the subprimes crisis period and thanks to data analysis and quantization algorithms. The impact of a heterogeneous data combination on our arbitrage portfolio is materialized by increasing return, increasing return/volatility ratio for the post subprimes crisis period, decreasing volatility and asset class correlations. These empirical findings suggest that “other market information” presence could be an element of arbitrage portfolio risk diversification. Furthermore, we investigate and bring empirical results to Blitz and Vliet (2008) issue on global tactical asset allocation (GTAA) by considering “predictive” variables with a systematic market timing process integrating heterogeneous data thanks to a quantitative data processing
Berrich, Riadh. "Interdépendance des marchés d'actifs financiers et stratégies de diversification internationale du portefeuille : étude Exploratoire sur les six plus grands marchés financiers internationaux : (2000-2007)." Paris 13, 2009. http://www.theses.fr/2009PA131017.
Повний текст джерелаThe object of this thesis is to clarify and determine the existing links between the six biggest stock markets in the world (Usa, Germany, Great Britain, Canada, France and Japan) in terms of profitability and volatility. An answer to this general question would make possible to anticipate the effectiveness of the strategy of international diversification of portfolio. In order to test some hypothesis, an empirical study has been carried out on a sample made by the observation of the stock index of these six biggest world markets, seized daily from 01/01/2000 to 31/12/2007, which represent 2080 observations. In the light of this study, the thesis examines the presentation of the organization of the financial markets, their functioning and their efficiency, the process of financial integration as well as the models able to measure it such as yield, relations between yields of stock indices and their volatilities. Within this research task, are also exposed the identification and the analysis of the strategy of international diversification of portfolio and the impact of financial integration on this strategy, epistemological positioning, research methodology and presentation of autoregressive conditional heteroskedasticity models. This presentation led to the multivaried GARCH model, revealing the advantage of formalization BEKK. Finally has been developed the empirical step of this thesis, which explored the existing links between these six larger international stock markets. The main conclusions of this thesis are grouped around three themes: - First this empirical work has revealed that the American market is the most influential in terms of profitability. In contrast, the influence of other markets in the American market is relatively low. - In term of volatility, the conditional variance of the national market is affected not only by the shocks passed on this same market but also by the shocks coming from the foreign markets. The relation between the markets in term of volatility of the American market towards the overseas markets is not unidirectional, but multidirectional. - Finally, this study on the relationship between financial markets has led to the conclusion that the six markets studied are interrelated but to a different degree. This allows deducting that the strategy of international diversification portfolio can not expect similar gains to all investors in portfolio management. Thus, so that the investors maximize their profits, they must operate in markets having between them small degrees of interdependence
Caicedo-Llano, Juliana. "Marchés actions de pays émergents : analyse de la dynamique des rendements et stratégies d'investissement." Thesis, Paris 10, 2009. http://www.theses.fr/2009PA100181/document.
Повний текст джерелаThis dissertation aims at investing some particular features of emerging equity markets that are central to the construction of equity portfolios. These features are confronted to the financial theory of portfolio selection and asset pricing. We provide theoretical and empirical analyses of the behavior of emerging equity indexes. We focus on the dynamic of comovements among emerging capital markets, the predictability of equity returns and the integration of these parameters in the construction of portfolio strategies. Our study identifies the specific features of emerging equity markets. It highlights the importance of risk management over time and the variability of the structure of equity returns. The thesis is organized around three chapters developing the topics of comovements, estimation of expected return and construction of portfolio strategies. The first chapter analyses a large numberof equity indexes corresponding to specific sectors and countries and uses a factor models technique to estimate the principal factor that would be used as a reference to calculate the comovements. This study shows that the structure of equity returns is different for emerging or developed markets and that it has a time varying nature. The second chapter proposes a prediction model for equity returns influenced from present value models which takes into account the results concerning the time varying structure of returns and the number of factors to include in a factor model.Our model estimates expected returns that would be used in the last chapter in a portfolio strategy application. A cointegration model is used to study the long term relation of fundamental variables with the level of prices for equity indexes. Finally, the last chapter of the thesis investigates the idea of the dynamic structure of return and suggests to modify the weights issued from the portfolio optimization taking into account the comovements calculated with the methods described in the first chapter.This study highlights the importance of the comovements management over time in portfolio management
Chevalier, Charles. "Trois essais sur les stratégies de suivi de tendance Trends Everywhere? The Case of Hedge Fund Styles Diversifying Trends Futures Market Liquidity and the Trading Cost of Trend Following Strategies." Thesis, Paris Sciences et Lettres (ComUE), 2019. http://www.theses.fr/2019PSLED037.
Повний текст джерелаTrend-following strategies became increasingly popular among institutional investors after exhibiting good performances during the 2008 global financial crisis. The 2016-2018 years reshuffled the cards due to disappointing performances. This thesis focuses on the different characteristics of the performances of trend following strategies, namely performance, risk and execution, and proposes new ways of analyzing them. Chapter 1 explains the differences in performance across hedge fund styles by confirming trends are harvested among CTA and Macro strategies. A trend exposure is shown to resemble insurance among all kinds of hedge funds. Chapter 2 proposes a break risk decomposition adapted to trend following strategies into systematic and specific components. The extracted systematic risk factor helps understanding hedge fund styles that were not exposed to the chapter 1 factor. This chapter paves the way for the construction of smart trend indices. Finally, Chapter 3 discusses the cost of implementing such strategy. The cost paid by the investor, which is the total implementation cost of the portfolio, is not only a function of the individual liquidity of traded assets, as measured by the trade-by-trade execution cost. This total cost is also the result of allocations decisions taken by the manager to satisfy the fund performance and risk objectives
ROMON, François. "Le management de l'innovation. Essai de modélisation dans une perspective systémique." Phd thesis, Ecole Centrale Paris, 2003. http://tel.archives-ouvertes.fr/tel-00009312.
Повний текст джерелаAdoptant une méthode de « recherche intéressée » nous avons pu identifier les questions actuelles de management de l'innovation avec les responsables de grandes entreprises françaises appartenant à des secteurs d'activité variés. Parallèlement, nous avons réalisé des études de cas approfondies dans une douzaine d'entreprises sur trois problématiques essentielles : la représentation des projets d'innovation chez les différents acteurs, le management des portefeuilles de projets d'innovation, et la représentation des besoins du client futur au long du processus d'innovation, mettant au jour plusieurs concepts tels le mandat d'innovation ou l'intensité stratégique de l'innovation.
Nous avons ainsi construit une typologie dynamique des projets d'innovation de l'entreprise, et un Modèle Systémique de Management de l'innovation, considéré comme étant le module de décision du système d'innovation de l'entreprise, agissant sur le module opérant (les projets d'innovation eux-mêmes) et utilisant pour se faire les informations fournies par le module d'information du système innovation. Nous montrons alors que c'est par des structures organisationnelles, avec des modes de décisions et avec des outils de gestion spécifiques de management de projets et de management de portefeuilles de projets, que l'entreprise peut espérer se mouvoir sur une deuxième boucle d'apprentissage lui permettant d'innover de façon pertinente et efficiente.
La modélisation que nous proposons se situe dans un contexte marqué par l'arrivée massive des technologies numériques dans l'entreprise, nous conduisant au concept de technologies managériales.
Fereres, Yohan. "Stratégies d'arbitrage systématique multi-classes d'actifs et utilisation de données hétérogènes." Phd thesis, Université Paris-Est, 2013. http://tel.archives-ouvertes.fr/tel-00987635.
Повний текст джерелаArnaud, Charlène. "Approche fonctionnelle et dynamique du portefeuille territorial d'évènements culturels : manager la proximité pour une attractivité durable du territoire." Thesis, Aix-Marseille, 2012. http://www.theses.fr/2012AIXM1076/document.
Повний текст джерелаThis work is a theoretical and methodological analysis of the public action territorialisation in the cultural field. We want to determine to which extent the strategic management of a territorial events portfolio takes part in the reinforcement of territorial proximity, and, by extension, in the sustainable attractiveness of this territory. First, we recall the territorial issues of a strategic management thought in the way of territorial proximity. One of the central concepts mobilized in this reflection is the territorial strategic management. It is understood as the new paradigm of the local public action. The “dynamics of proximity” approach is then proposed as an analytic framework of the local governance system. The activation of the potentials of proximity make a strengthening of territorial attractiveness possible (Chapter 1). Moreover, the cultural action can take many forms. However, we have seen a shift in French cultural policy. Formerly based on the development of equipment used to cover the territory and promote the democratization of culture, it is now subject to a phenomenon of “festivalization”. If the event is seen as a modern form of cultural action, the possible running out of steam as the development of a real competition on the “event destinations” marketplace invite us to place the analysis of the cultural event in a functional and dynamic approach of the territorial events portfolio. The aim is thus to consider the various functions assigned to the different events under a territorial strategic logic (Chapter 2)
Paulsen, Jean-François. "Le contrat de gestion de portefeuille." Paris 5, 1995. http://www.theses.fr/1995PA05D007.
Повний текст джерелаThe contract which gives power to a bank, a stock exchange society, a portfolio manager or a financial society, to manage the portfolio's client is a portfolio's managment contract, strictly regulated since the 22 january's law. This contract is a entreprise's contract, which authority is an essential element it becomes more and more important since the great number of savers to the stock exchange, created by the numerous measures of the government. The financial depression of 1987 gives precisions to the obligations of the portfolio's manager and of the client. The problems of the futures market's cover, of the silence concerning the operations account rendered, are drafted only for the contract of portfolio's managment. The roll of the market's authority, and especialy the c. O. B, is more and more important in the movement of regulation. The measures taken about the professional and the supervision of their activities prove it
Yugma, Galliam Claude. "Gestion dynamique d'un portefeuille de commandes." Grenoble INPG, 2003. http://www.theses.fr/2003INPG0144.
Повний текст джерелаRaffinot, Thomas. "Cycles économiques et gestion de portefeuille." Thesis, Paris Sciences et Lettres (ComUE), 2017. http://www.theses.fr/2017PSLED067/document.
Повний текст джерелаA well-worked theory of macro-based investment decision is introduced. The theoretical influence of economic cycles on time-varying risk premiums is explained and exhibited. The importance of the turning points of the growth cycle, better known as the output gap, is outlined. To quickly and accurately detect economic turning points, probabilistic indicators are first created from a simple and transparent machine-learning algorithm known as Learning Vector Quantization. Those indicators are robust, interpretable and preserve economic consistency. A more complex approach is then evaluated: ensemble machine learning algorithms, referred to as random forest and as boosting, are applied. The two key features of those algorithms are their abilities to entertain a large number of predictors and to perform estimation and variable selection simultaneously. With both approaches investment strategies based on the models achieve impressive risk-adjusted returns: timing the market is thus possible. At last, exploring a new way of capital allocation, a hierarchical clustering based asset allocation method is introduced. The empirical results indicate that hierarchical clustering based portfolios are robust, truly diversified and achieve statistically better risk-adjusted performances than commonly used portfolio optimization techniques
Coulon, Jérôme. "Mémoire longue, volatilité et gestion de portefeuille." Phd thesis, Université Claude Bernard - Lyon I, 2009. http://tel.archives-ouvertes.fr/tel-00657711.
Повний текст джерелаFulli-Lemaire, Nicolas. "Stratégies alternatives de couverture de l'inflation en ALM." Thesis, Paris 2, 2013. http://www.theses.fr/2013PA020013/document.
Повний текст джерелаGone are the days when inflation fears had receded under years of “Great Moderation” in macroeconomics. The US subprime financial crisis, the ensuing “Great Recession” and the sovereign debt scares that spread throughout much of the industrialized world brought about a new order characterized by higher inflation volatility, severe commodity price shocks and uncertainty over sovereign bond creditworthiness to name just a few. All of which tend to put in jeopardy both conventional inflation protected strategies and nominal unhedged ones: from reduced issues of linkers to negative long-term real rates, they call into question the viability of current strategies. This paper investigates those game changing events and their asset liability management consequences for retail and institutional investors. Three alternative ways to achieve real value protection are proposed
Moumouni, Zoulkiflou. "Modeling and hedging strategies for agricultural commodities." Thesis, Montpellier, 2016. http://www.theses.fr/2016MONTD047/document.
Повний текст джерелаIn agricultural markets, producers incur price and production risks as well as other risks related to production contingencies. These risks impact the producer activity and could decrease his income. The globalization of markets, particularly those of agricultural commodities, provides hedging instruments including futures contracts which will serve to develop a hedging strategy. However, the situation whereby a single futures contract-based positions could offset many risks leads to incomplete market. Especially, an producer looking for better hedging strategy could also include insurance, option contract or mutual funds to further guarantee his income, specially when crop yields are lower than expected.vspace{0.25cm}We investigate the hedging strategies in static framework as well as in continuous time framework. Prior, we analyze the behavior of agricultural prices using various statistical approaches and suggest appropriate price modeling for data at hands. The static hedging strategy also accounts for rollover process which gives raise to additional risks due to spread between new futures and nearby futures and inter-crop hedging. We particularly address hedging strategy that combines futures and insurance contracts. Since decisions making in static framework does not include price changes along the hedging horizon, optimal hedging strategy in continuous time framework will take into account jumps and seasonality by combining futures and option contracts
Lenormand, Gaëlle. "Options sur indice et gestion de portefeuille actions." Rennes 1, 1997. http://www.theses.fr/1997REN11009.
Повний текст джерелаThe objective of this thesis is to study the impact of index options on equity portfolio management. There are two parts in this thesis. The first investigates volatility evaluation. To value volatility, a first approach is to consider that this variable is constant during option life. In this case, there are two traditional methods (historical and implicit) but we can also model the time series behavior of volatility. We study two types of models : linear (arma, var and ecm. . . ) and heteroscedastic models (arch and garch). The tests show that the most efficient are the linear ones. A second approach for valuing volatility is to consider a stochastic volatility model. To estimate american option with devidends, we must use a binomial model with two states variables. The tests show that the use of a stochastic volatility model is more efficient than a constant volatility model. After valuing options, we investigate the portfolios with index options performances (part two). The existing studies show that when we introduce options in a portfolio the rentabilities distributions deviate from normality. Thereby, we can think that we must use a measure of performance compatible with stochastic dominance and not a "mean-variance" one. The tests are led from simulated portfolios with different options. This study shows that, on the one hand, when we introduce options in a portfolio, the the performance depends on the characteristic options and, on the other hand, options induce departure from normality. However, the use a "mean-variance" measure or one compatible with stochastic dominance has not impact on portfolios results. This shows the robustness of the "mean-variance" analysis
Meftah, Mohammed. "La Duration et la gestion d'un portefeuille obligataire." Grenoble 2 : ANRT, 1988. http://catalogue.bnf.fr/ark:/12148/cb376161338.
Повний текст джерелаMilhau, Vincent. "Choix de portefeuille en gestion de passif et en gestion acti-passif." Nice, 2009. http://www.theses.fr/2009NICE0033.
Повний текст джерелаIs thesis consists of a literature survey three essays in Liability Management and Asset and Liability Management. In the first part we introduce a general framework for analyzing liability allocation decisions, with potential applications to debt management by sovereign states, corporations and households. In a static mean-variance setting that extends Markowitz (1952) analysis to encompass liability allocation decisions, we distinguish between a pure liability management focus and a situation where the presence of assets to be financed is accounted for. Is last situation is analyzed from the perspective of a sole optimization of the debt structure given the assets in place, as well as from the more general perspective of a joint optimization of the asset and liability structures. In the latter case, optimal asset and liability allocation decisions are found to be deeply intertwined, with an infinite series of joint influences between hedging components within the demand for various asset and liability classes. As an extension, we also analyze optimal liability allocation decisions in a dynamic setting with CARA preferences. Overall, our analysis emphasizes that debt management should be perceived as an optimal mixture of various forms of debt, as opposed to a choice between various forms of debt. In the second part we study Asset Management for a pension fund in the presence of regulatory constraints.
Kacimi, Moulay Hache. "Modelé de préférence d'aide à la décision en gestion de portefeuille." Paris 9, 1986. https://portail.bu.dauphine.fr/fileviewer/index.php?doc=1986PA090013.
Повний текст джерелаJouneau, Frédéric. "Une théorie généralisée du choix de portefeuille." Paris 9, 1994. https://portail.bu.dauphine.fr/fileviewer/index.php?doc=1994PA090036.
Повний текст джерелаA generalized version of the theory of portfolio is proposed. It allows for several degree of heterogeneity among agent's choices. The theory is developed first in a static then in a dynamic framework. Statistical inference methods are proposed. These methods may concern either market data (such as return and portfolio prices) or qualitative data on detention rate of financial assets
Perchet, Romain. "Construction et gestion d'un portefeuille en budget de risque." Paris, EHESS, 2015. http://www.theses.fr/2015EHES0179.
Повний текст джерелаThis thesis, based on articles, propose solutions to investors to build and manage portfolios taking into account the frequency of crisis. The first chapter explains the motivation of these articles. The second chapter proposes a solution to build robust mid-term asset allocation whereas the chapter three and four offer solutions to manage short term risk. For a number of different formulations of robust portfolio optimization, quadratic and absolute, I show that (a) in the limit of low uncertainty in estimated asset mean returns the robust portfolio converges towards the mean-variance portfolio obtained with the same inputs, and (b) in the limit of high uncertainty the robust portfolio converges towards a risk-based portfolio, which is a function of how the uncertainty in estimated asset mean returns is defined. Inter-temporal risk parity is a strategy which rebalances between a risky asset and cash in order to target a constant level of risk over time. When applied to equities and compared to a buy and hold strategy it is known to improve the Sharpe ratio and reduce drawdowns. I used Monte Carlo simulations based on a number of time-series parametric models from the GARCH family in order to analyze the relative importance of a number of effects in explaining those benefits. I also apply these strategies to factor investing, namely value and momentum investing in equities, government bonds and foreign exchange. Value and momentum factors generate a premium which is traditionally captured by dollar-neutral long-short portfolios rebalanced every month to take into account changes in stock, bond or foreign exchange factor exposures and keep leverage constant
Boolell, Gunesh Shaneera. "L'investisseur individuel : biais de comportement et gestion de portefeuille." Strasbourg, 2009. http://www.theses.fr/2009STRA0006.
Повний текст джерелаStandard finance theory assumes that individuals act with extreme rationality. However, recent work in finance has shown that investor behavior often departs from this assurnption. In fact, very human deviations from rationality have been observed. In an original manner, this work highlights two "mistakes" investors make: the disposition effect and overconfidence. The disposition effect is the tendency to hold on to losing investments while selling winners. Overconfidence can lead to excessive trading on financial markets. We focus on 9 619 898 trading records of 92 603 individual investors over an eight-year period (1999-2006). The data for this study is provided by the French' discount brokerage house Cortal Consors. Our main results show strong evidence of the disposition effect and overconfidence
Bourachnikova, Olga Roger Patrick. "Théorie comportementale du portefeuille une analyse critique /." Strasbourg : Université de Strasbourg, 2009. http://eprints-scd-ulp.u-strasbg.fr:8080/1144/01/BOURACHNIKOVA_Olga_2009.pdf.
Повний текст джерелаMartena, Philippe. "Conjoncture mondiale et structure du portefeuille." Paris 9, 1988. https://portail.bu.dauphine.fr/fileviewer/index.php?doc=1988PA090023.
Повний текст джерелаComplying with lessons of financial theory, methods of world portfolio management -diversified and sophisticated as they may be-are based on geographical risk diversification (according to currencies and types of assets). Is it possible to imagine an alternative, aimed at concentrating the choice on one single currency and one single type of asset? This question cannot be settled out cf the new frame of "world economics", which was structured by 25 years of profound, progressive or sudden changes. As the two key-parameters of world wealth appear to be interest and exchange rates, they now have to be foreseen in the medium run, refusing technical methods, but adding to traditional approaches a new one, which is specific to world economics geopolitics. From a strategic matrix of world investment should the simple decision come out of whether to invest or not to invest, the sole additional decision being the choice of currency and asset. That strategic approach appears to be operational in 1987, although not exempt of risks. New techniques of risk reduction - or, even better, risk modulation. .
Moeini, Mahdi Lê Thi Hoài An. "La programmation DC et DCA pour l'optimisation de portefeuille." [S.l.] : [s.n.], 2008. ftp://ftp.scd.univ-metz.fr/pub/Theses/2008/Moeini.Mahdi.SMZ0808.pdf.
Повний текст джерелаMoisan-Poisson, Miguel. "Stratégie d'investissement guidé par les passifs et immunisation de portefeuille : une approche dynamique." Mémoire, Université de Sherbrooke, 2013. http://hdl.handle.net/11143/6096.
Повний текст джерелаMcCoy, Eric. "Allocation tactique : : le rôle du portefeuille répliquant d'options." Nice, 2004. http://www.theses.fr/2004NICE0053.
Повний текст джерелаEspinosa, Gilles-Edouard. "Méthodes de Contrôle Stochastique pour la Gestion Optimale de Portefeuille." Phd thesis, Ecole Polytechnique X, 2010. http://pastel.archives-ouvertes.fr/pastel-00512703.
Повний текст джерелаHenchiri, Jamel Eddine. "La gestion d'un portefeuille sur l'euromarche : application aux euro-obligations." Rennes 1, 1990. http://www.theses.fr/1990REN11027.
Повний текст джерелаManaging a eurobond portfolio requires a thorough knowledge of the euromarket, the eurobond market and the exchange market. Owing to its supranational structure, the euromarket demands a specific organisation in which the eurobands play a leading role. The main difficulty in eurobond management lies in the complex problems that exist between the exchange rate and the interest rate. Every eurobond investor must show an interest in eurocurrencies. This preoccupation concerns the selection of currencies, followed by a close study of the exchange risk. Amongst the currency baskets, the ecu is increasingly recognised as an issuing currency. A return behaviour study showed that arbitrage existed between securities with different degrees of maturity and eurocurrencies. In spite of these particularities, the eurobond risk can be managed by standard bond-management methods. In the specific risk is low, the interest rate risk is high. Using 4 risk measures (duration, modified duration completed by convexity, standard deviation of return an beta) we tested the balancing models, capm and the extended version iapm. Over the period from 1985-1988 and using
Hoesli, Martin. "Investissement immobilier et diversification de portefeuille /." Paris : Économica, 1993. http://catalogue.bnf.fr/ark:/12148/cb356053453.
Повний текст джерелаChakir, Mohammed. "Évaluation intertemporelle des actifs financiers, inflation et méthodes de comptabilisation dans un univers d'incertitude." Paris 9, 1987. https://portail.bu.dauphine.fr/fileviewer/index.php?doc=1987PA090047.
Повний текст джерелаIn the case of not only the inflation but also the uncertainty, we are to ask about the economic validity of the assets accounting evaluation. In answer to this object, we used a simulation which permit us to test the economic signification of a precise accounting information (the accounting rate of return). The economic reference of this simulation is founded on a general equilibrium model in concern with time, inflation and uncertainty. The results of the study shows that the inflation accounting is impertinent because it consider, implicitly, that the prices variation is the unique variable which can explain the economic evolution. The historical cost accounting can be used as a judicious system of information, under the condition that the depreciation schedules must be adjusted according to the occurrence of the states of the world. To aim this, a contingent depreciation schedule is proposed and which can be used by the firms as an exceptional depreciation schedule (amortissement derogatoire in France)
Bourachnikova, Olga. "Théorie comportementale du portefeuille : une analyse critique." Strasbourg, 2009. https://publication-theses.unistra.fr/public/theses_doctorat/2009/BOURACHNIKOVA_Olga_2009.pdf.
Повний текст джерелаTahar, Fabrice Aaron. "Elements de gestion de portefeuille : analyse et extensions de méthodes en gestion indicielle et garantie." Cergy-Pontoise, 2005. http://biblioweb.u-cergy.fr/theses/05CERG0281.pdf.
Повний текст джерелаThis PhD thesis deals with financial portfolios and proposes to analyse new methods in the field of indexed funds and portfolio insurance. In the first part we develop several quantitative techniques and some possible refinements that we can use in order to construct an indexed portfolio: Principal Components Analysis, algorithmic technics (Threshold Accepting Algorithm), and econometric theory. The second part of this thesis comprises four chapters concerning portfolio insurance strategies like OBPI and CPPI. Various extensions are proposed: introduction of polynomial options, cushion insurance with the purchasing of a digital barrier option, or taking stochastic interest rates into account by introducing simple one factor models (Vasicek and CIR models)
Tahar, Fabrice Aaron Prigent Jean-Luc. "Elements de gestion de portefeuille analyse et extensions de méthodes en gestion indicielle et garantie /." [s.l.] : [s.n.], 2008. http://biblioweb.u-cergy.fr/theses/05CERG0281.pdf.
Повний текст джерелаAbdallah, Amal. "La sécurisation de la gestion fiduciaire : pratiques conventionnelles et islamiques /." Bruxelles : Beyrouth : Paris : Bruylant ; Delta ; LGDJ, 2006. http://catalogue.bnf.fr/ark:/12148/cb412384954.
Повний текст джерелаEn appendice, textes législatifs et réglementaires. Bibliogr. p. 299-320. Index.
Rousseau, Nicolas. "Choix de portefeuille, de consommation et d'épargne." Paris 9, 1999. https://portail.bu.dauphine.fr/fileviewer/index.php?doc=1999PA090062.
Повний текст джерелаRakotoniaina, Holinjanahary. "Analyse et extensions des mesures de performance de portefeuille." Thesis, Perpignan, 2016. http://www.theses.fr/2016PERP0040.
Повний текст джерелаThis research aims to present the foundations and theoretical properties of portfolio efficiency based on directional distance measure. We try to com- bine different field of analysis: static and dynamic measurements of financial assets performance and the analysis of the relationship between investor sentiment and profitability of the market index. Performance measures are formulated from the directional distance function Luenberger (1998). This function allows to define portfolio efficiency as well as in a quadratic or in nonlinear framework. It can also be used in both static and dyna- mic context. This distance function is used to measure the performance of hedge funds in the dynamic context. We measure the destination efficiency in mean-variance-skewness framework. We use two risk measures: variance and absolute deviation to measure the efficiency of CAC40 financial as- sets. A study of the relationship between the market index and investor sentiment is proposed at the end of this thesis
Bajeux-Besnainou, Isabelle. "Modèles discrets de gestion de portefeuille et de valorisation d'instruments financiers." Paris 9, 1989. https://portail.bu.dauphine.fr/fileviewer/index.php?doc=1989PA090014.
Повний текст джерелаWe study a model of portfolio selection, that means of optimal consumption and investment choice, in a dynamical content under uncertainty (binomial structure), with a finite horizon and for general utility and bequest functions. We deduce an equilibrium model and i. C. C. A. P. M. (intertemporal consumption based capital asset pricing model) relations. We obtain the following extensions and results: genericity of necessary and sufficient conditions on the dividend structure of the assets to have intertemporal complete markets; convergence of the optimal consumption of the binomial case with finite horizon to the optimal consumption of the similar model in continuous time (karatzas and alii (1987)) ; the extension of the results of the finite horizon model to an infinite horizon one; the extension of the results of the binomial model to a multinomial model (number of assets greater than two); an application of our previous techniques for a portfolio selection model of zero-coupon bonds. Finally, we obtain necessary and sufficient conditions (in a trinomial model) for the options to be non redundant, that means that options really complete financial markets
Nicolas, Franck. "Modélisation d'un ordre stop conditionnel pour une gestion systématique de portefeuille." Aix-Marseille 2, 1998. http://www.theses.fr/1998AIX24009.
Повний текст джерелаDiyarbakirlioglu, Erkin. "Essais sur la diversification internationale de portefeuille." Paris 1, 2010. http://www.theses.fr/2010PA010076.
Повний текст джерелаKoehl, Pierre François. "Optimisation de portefeuille et prix d'équilibre en présence de frictions." Toulouse 1, 1994. http://www.theses.fr/1994TOU10005.
Повний текст джерелаOur aim is to measure the influence of the frictions introduction in the portfolios choice models. We recall firstly the main results on that topic in the particular case where frictions are transaction costs. We introduce next proportional transaction costs in the Sharpe and Lintner's capital asset pricing model. We compute the optimal portfolios choice and deduce an estimation of the error implied in the beta-relation. We study also the case where there are two riskless assets, with just one subject to transaction costs. We compute again the optimal choice. We are also in interest with two different frictions. We introduce taxes in borsch's model and obtain optimal choices and new equilibrium prices if the equilibrium corresponds to an optimal risk sharing. At last, we study the modification of portfolio choice when we take into account limited liability
Nicolas, Franck. "Obligations convertibles et actifs hybrides : évaluation et utilisation en gestion de portefeuille." Paris 1, 2002. http://www.theses.fr/2002PA010017.
Повний текст джерелаAgbemebia, Kokouvi. "Gestion de portefeuille des titres non cotés par analyse multicritère et constructive." Bordeaux 4, 2004. http://www.theses.fr/2004BOR40030.
Повний текст джерелаJalkh, Naji Pierre. "Méthodologie multicritère d'aide à la décision et gestion de portefeuille en actions." Paris 9, 2004. https://portail.bu.dauphine.fr/fileviewer/index.php?doc=2004PA090074.
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