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230 8. Tests de copule gaussienne ˆρ d1 d2 d3 d4 amat pfe 0.15 7.41e-02 1.12e-01 8.40e-03 1.14e-01 c sunw 0.28 2.56e-01 4.87e-01 1.09e-01 5.39e-01 f ge 0.33 2.52e-01 2.74e-01 1.15e-01 2.90e-01 gm ibm 0.21 1.49e-01 3.85e-01 1.62e-01 4.18e-01 hwp sbc 0.12 4.23e-01 1.69e-01 2.52e-01 1.72e-01 intc mrk 0.17 2.48e-01 1.09e-01 6.46e-01 1.04e-01 ko sunw 0.14 1.41e-01 1.01e-01 2.12e-01 9.35e-02 mdt t 0.16 1.21e-01 2.81e-01 8.41e-02 2.98e-01 mrk xom 0.19 1.54e-01 1.50e-01 1.12e-01 1.45e-01 msft sunw 0.44 3.40e-02 1.85e-02 2.60e-03 1.74e-02 pfe wmt 0.27 4.24e-02 4.12e-02 1.54e-01 3.74e-02 t wcom 0.27 5.67e-02 8.02e-02 5.44e-02 9.07e-02 txn wcom 0.28 4.79e-01 3.77e-01 1.52e-01 3.75e-01 wmt xom 0.20 3.20e-03 0.00e+00 6.02e-02 0.00e+00 Table 6: Same as table 2 for stocks over a 10 years time interval from February 8, 1991 to December 29, 2000. 38
ˆρ d1 d2 d3 d4 amat pfe 0.10 5.83e-01 5.81e-01 1.18e-01 6.38e-01 c sunw 0.23 4.66e-01 5.94e-01 4.34e-01 6.16e-01 f ge 0.31 8.73e-01 7.87e-01 1.54e-01 8.48e-01 gm ibm 0.21 6.00e-01 6.53e-01 1.03e-01 5.27e-01 hwp sbc 0.11 8.73e-01 8.06e-01 2.84e-01 8.59e-01 intc mrk 0.13 8.59e-01 8.21e-01 5.48e-02 8.65e-01 ko sunw 0.20 3.53e-01 5.98e-01 4.51e-01 6.79e-01 mdt t 0.14 9.09e-01 8.98e-01 1.68e-01 9.15e-01 mrk xom 0.12 5.36e-01 6.21e-01 1.20e-01 6.18e-01 msft sunw 0.40 2.68e-01 1.38e-01 1.60e-01 1.39e-01 pfe wmt 0.23 2.94e-01 4.66e-01 1.41e-01 5.23e-01 t wcom 0.19 7.92e-01 9.36e-01 4.95e-02 9.49e-01 txn wcom 0.23 9.10e-01 9.83e-01 1.00e-01 9.93e-01 wmt xom 0.22 7.16e-01 6.71e-01 7.35e-02 6.89e-01 Table 7: Same as table 2 for stocks over a 5 years time interval from February 8, 1991 to January 18, 1996. 39 231
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UNIVERSITE DE NICE-SOPHIA ANTIPOLIS
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4 Table des matières 2.2.2 Bulles
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6 Table des matières 7.3.2 Tests n
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8 Table des matières 12.1.1 Distri
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10 Table des matières Références
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12 m’ont souvent été d’un gra
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14 Introduction pour espérer se co
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16 Introduction les distributions e
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18 Introduction
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Chapitre 1 Faits stylisés des rent
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1.1. Rappel des faits stylisés 23
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1.1. Rappel des faits stylisés 25
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1.2. De la difficulté de représen
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1.3. Modélisation des propriétés
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Chapitre 2 Modèles phénoménologi
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2.1. Bulles rationnelles multi-dime
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2.2. Des bulles rationnelles aux kr
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Chapitre 3 Distributions exponentie
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Empirical Distributions of Log-Retu
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concerning tail fatness can be form
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To fit our two data sets, section 4
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properties, stressing the problems
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Another problem lies in the determi
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In order to obtain a process with S
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and Sornette (1999) for instance. W
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1. The Pareto distribution: 79 Fu(x
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empirical analog FN(x), estimated f
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have been chosen to converge to 1 a
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5 Comparison of the descriptive pow
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ased on the fact that the quantity
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tail (positive or negative) of the
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Equation (46) depends on c only and
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B Minimum Anderson-Darling Estimato
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C Local exponent In this Appendix,
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D Testing non-nested hypotheses wit
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where α = (c ∗ ,d ∗ ). It can
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where E0[·] denotes the expectatio
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References Andersen, J.V. and D. So
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Gouriéroux C. and A. Monfort, 1994
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Rubinstein, M., 1973, The fundament
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(a) Independent Data Stretched-Expo
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(a) Dow Jones Positive Tail Negativ
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Nasdaq Dow Jones Pos. Tail Neg. Tai
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Dow Jones positive tail Dow Jones n
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Variation coefficient Variation coe
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Mean excess function Mean excess fu
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Hill‘s estimate b u Hill‘s esti
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Wilks statistic (doubled log−like
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Tail 1−F(x) and parameter b Tail
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1.4 1.2 1 0.8 0.6 0.4 0.2 0 1 2 3 4
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Chapitre 4 Relaxation de la volatil
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Volatility Fingerprints of Large Sh
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2 Long-range memory and distinction
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Figure 2: Measuring the conditional
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the system to the accumulation of m
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Appendix C: “Conditional response
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Baillie, R.T., 1996, Long memory pr
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Chapitre 5 Approche comportementale
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5.1. Prix d’un actif et excès de
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5.2. Modèles d’opinion contre mo
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5.4. Conséquences des phénomènes
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5.5. Conclusion 157 ce qui induit u
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Chapitre 6 Comportements mimétique
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RESEARCH PAPER Q UANTITATIVE F INAN
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A Corcos et al Q UANTITATIVE F INAN
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Page 179: Deuxième partie Etude des proprié
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280 9. Mesure de la dépendance ext
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Chapitre 10 La mesure du risque Dan
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10.1. La théorie de l’utilité 3
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10.2. Les mesures de risque cohére
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10.3. Les mesures de fluctuations 3
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10.4. Conclusion 361 et de manière
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Chapitre 11 Portefeuilles optimaux
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11.2. Prise en compte des grands ri
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11.3. Equilibre de marché 367 s’
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11.5. Annexe 369 Collective Origin
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11.5. Annexe 371 point λ = 1. Thus
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Chapitre 12 Gestion des risques gra
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12.1. Comprendre et gérer les risq
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12.2. Minimiser l’impact des gran
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Chapitre 13 Gestion de portefeuille
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VaR-Efficient Portfolios for a Clas
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dependence: from independence to co
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given a series of return {rt}t foll
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eads cV (u1, · · · , un) = 1
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THEOREM 4 (TAIL EQUIVALENCE FOR A S
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Independent Assets Comonotonic Asse
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3.2 Typical recurrence time of larg
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and finally w ∗ i = χ−1 i j
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where the ˆwi’s are solution of
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Choosing x > y > Aɛ, and applying
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Expanding fi(xi) around x ∗ i yie
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for all h ∈ AC. Thus, integrating
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B Asymptotic distribution of the su
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This yields × h+ Sc−2 − 2 dh
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References Acerbi, A. and D. Tasche
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Malevergne, Y. and D. Sornette, 200
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ln(T/T 0 ) T Figure 2: Logarithm
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Chapitre 14 Gestion de Portefeuille
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Multi-Moments Method for Portfolio
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choosen risk measure. Section 5 pre
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The variance of the return X of an
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This property is verified for all c
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µn=α of order n = 2, 4, 6 and 8.
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these two assets or portfolios. The
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Due to the homogeneity property of
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invested in the risky fund depends
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C. Then, if g1(X1), · · · , gn(X
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Differentiating with respect to x1,
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7.2 Transformation of the modified
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In the sequel, we will first evalua
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8.3 Non-symmetric assets In the cas
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y the variance will then increase).
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A Description of the data set We ha
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thus and finally 1 λ1 n−1 = w
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C Composition of the market portfol
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D Generalized capital asset princin
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This brings us back to the problem
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F.2 General case We now consider a
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Harvey, C.R. and A. Siddique, 2000,
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µ µ2 1/2 µ4 1/4 µ6 1/6 µ8 1/8
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Mean (10 −3 ) Variance (10 −3 )
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μ (daily return) x 10−3 2.5 2 1.
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w i w i 0.2 0.15 0.1 0.05 Mean−μ
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Figure 6: Schematic representation
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Empirical Cumulative Distribution 1
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Z 2 1 0.9 0.8 0.7 0.6 0.5 0.4 0.3 0
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Z 2 1 0.9 0.8 0.7 0.6 0.5 0.4 0.3 0
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10 0 10 −1 10 0 10 −1 10 −1 1
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10 0 10 −1 10 0 10 −1 10 −1 1
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κ 22 20 18 16 14 12 10 8 6 4 2 Exc
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Return μ 0.12 0.11 0.1 0.09 0.08 0
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Conclusions et Perspectives L’obj
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Conclusion 493 en univers gaussien
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Annexe A Evaluation de la conduite
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A.2. Eléments de contexte 497 bora
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A.4. Compétences acquises et ensei
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A.5. Conclusion 501 de la recherche
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Bibliographie ACERBI, C. (2002) :
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Bibliographie 505 BOUCHAUD, J. P. E
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Bibliographie 507 DE FINETTI, B. (1
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Bibliographie 509 GRANGER, C. W. ET
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Bibliographie 511 LILLO, F. ET R. N
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Bibliographie 513 PATTON, A. (2001)
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Bibliographie 515 SUSMEL, R. (1996)
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