statistique, théorie et gestion de portefeuille - Docs at ISFA

More documents

Recommendations

Info

502 A. Evaluation de la conduite du projet de thèse
Bibliographie ACERBI, C. (2002) : “Spectral measures of risk : A coherent representation of subjective risk aversion”, Journal of Banking & Finance 26, 1505–1518. ACERBI, C. ET D. TASCHE (2002) : “On the coherence of expected shorfall”, Journal of Banking & Finance 26, 1487–1503. ACERBI, C. ET P. SIMONETTI (2002) : “Portfolio optimization with spectral measures of risk”, Document de Travail. ADAMS, M. C. ET A. SZARFARZ (1992) : “Speculative bubbles and financial markets”, Oxford Economic Papers 44, 626–640. AHN, D., J. BOUDOUKH, M. RICHARDSON ET R. WHITELAW (1999) : “Optimal risk management using options”, Journal of Finance 54, 359–376. ALEXANDER, G. J. ET A. M. BAPTISTA (2002) : “Economic Implications of Using a Mean-VaR Model for Portfolio Selection : A Comparison with Mean-Variance Analysis”, Journal of Economic Dynamics & Control 26, 1159–1193. ALLAIS, M. (1953) : “Le comportement de l’homme rationnel devant le risque : critique des postulats de l’école amricaine”, Econometrica 21, 503–546. ANDERSEN, J. V. ET D. SORNETTE (2002a) : “Have your cake and eat it too : Increasing returns while lowering large risks !”, Journal of Risk Finance 2, 70–82. ANDERSEN, J. V. ET D. SORNETTE (2002b) : “the $-game”, Document de Travail 0205423, Cond-mat. ANDERSSON, M., B. EKLUND ET J. LYHAGEN (1999) : “A simple linear time series model with misleading nonlinear properties”, Economics Letters 65, 281–285. ARDITTI, F. (1967) : “Risk and the required return on equity”, Journal of Finance 22, 19–36. ARNÉODO, A., J. F. MUZY ET D. SORNETTE (1998) : “Causale cascade in the stock market from the infrared to the ultraviolet”, European Physical journal B 2, 277–282. ARTHUR, W. B. (1987) : “Inductive Reasoning and Bounded Rationality : Self-reinforcing mechanisms in economics”, Center for Economic Policy Research 111, 1–20. ARTHUR, W. B. (1994) : “Inductive Reasoning and Bounded Rationality”, American Economic Review 84, 406–411. ARTHUR, W. B., J. H. HOLLAND, B. LEBARON, R. PALMER ET P. TAYLOR (1997) : “Asset pricing under endogeneous expectations in an artificial stock market”, in Arthur, W. B., D. Lane et S. Durlauf (eds.), The Economy as an Evolving Complex System II, Addison-Wesley, Redwood City. ARTZNER, P., F. DELBAEN, J.-M. EBER ET D. HEATH (1999) : “Coherent measures of risk”, Mathematical Finance 9, 203–288. AVNIR, D., O. BIHAM, D. LIDAR ET O. MALCAI (1998) : “Is the geometry of nature fractal ?”, Science 279, 39–40. 503
Page 1:
UNIVERSITE DE NICE-SOPHIA ANTIPOLIS
Page 4 and 5:
4 Table des matières 2.2.2 Bulles
Page 6 and 7:
6 Table des matières 7.3.2 Tests n
Page 8 and 9:
8 Table des matières 12.1.1 Distri
Page 10 and 11:
10 Table des matières Références
Page 12 and 13:
12 m’ont souvent été d’un gra
Page 14 and 15:
14 Introduction pour espérer se co
Page 16 and 17:
16 Introduction les distributions e
Page 18 and 19:
18 Introduction
Page 21 and 22:
Chapitre 1 Faits stylisés des rent
Page 23 and 24:
1.1. Rappel des faits stylisés 23
Page 25 and 26:
1.1. Rappel des faits stylisés 25
Page 27 and 28:
1.2. De la difficulté de représen
Page 29 and 30:
1.3. Modélisation des propriétés
Page 31 and 32:
Chapitre 2 Modèles phénoménologi
Page 33 and 34:
2.1. Bulles rationnelles multi-dime
Page 35 and 36:
Page 37 and 38:
Page 39 and 40:
Page 41 and 42:
Page 43 and 44:
2.2. Des bulles rationnelles aux kr
Page 45 and 46:
Page 47 and 48:
Page 49 and 50:
Page 51 and 52:
Page 53 and 54:
Page 55 and 56:
Page 57 and 58:
Page 59 and 60:
Page 61 and 62:
Page 63 and 64:
Chapitre 3 Distributions exponentie
Page 65 and 66:
Empirical Distributions of Log-Retu
Page 67 and 68:
concerning tail fatness can be form
Page 69 and 70:
To fit our two data sets, section 4
Page 71 and 72:
properties, stressing the problems
Page 73 and 74:
Another problem lies in the determi
Page 75 and 76:
In order to obtain a process with S
Page 77 and 78:
and Sornette (1999) for instance. W
Page 79 and 80:
1. The Pareto distribution: 79 Fu(x
Page 81 and 82:
empirical analog FN(x), estimated f
Page 83 and 84:
have been chosen to converge to 1 a
Page 85 and 86:
5 Comparison of the descriptive pow
Page 87 and 88:
ased on the fact that the quantity
Page 89 and 90:
tail (positive or negative) of the
Page 91 and 92:
Equation (46) depends on c only and
Page 93 and 94:
B Minimum Anderson-Darling Estimato
Page 95 and 96:
C Local exponent In this Appendix,
Page 97 and 98:
D Testing non-nested hypotheses wit
Page 99 and 100:
where α = (c ∗ ,d ∗ ). It can
Page 101 and 102:
where E0[·] denotes the expectatio
Page 103 and 104:
References Andersen, J.V. and D. So
Page 105 and 106:
Gouriéroux C. and A. Monfort, 1994
Page 107 and 108:
Rubinstein, M., 1973, The fundament
Page 109 and 110:
(a) Independent Data Stretched-Expo
Page 111 and 112:
(a) Dow Jones Positive Tail Negativ
Page 113 and 114:
Nasdaq Dow Jones Pos. Tail Neg. Tai
Page 115 and 116:
Page 117 and 118:
Page 119 and 120:
Page 121 and 122:
Dow Jones positive tail Dow Jones n
Page 123 and 124:
Variation coefficient Variation coe
Page 125 and 126:
Mean excess function Mean excess fu
Page 127 and 128:
Hill‘s estimate b u Hill‘s esti
Page 129 and 130:
Wilks statistic (doubled log−like
Page 131 and 132:
Tail 1−F(x) and parameter b Tail
Page 133 and 134:
1.4 1.2 1 0.8 0.6 0.4 0.2 0 1 2 3 4
Page 135 and 136:
Chapitre 4 Relaxation de la volatil
Page 137 and 138:
Volatility Fingerprints of Large Sh
Page 139 and 140:
2 Long-range memory and distinction
Page 141 and 142:
Figure 2: Measuring the conditional
Page 143 and 144:
the system to the accumulation of m
Page 145 and 146:
Appendix C: “Conditional response
Page 147 and 148:
Baillie, R.T., 1996, Long memory pr
Page 149 and 150:
Chapitre 5 Approche comportementale
Page 151 and 152:
5.1. Prix d’un actif et excès de
Page 153 and 154:
5.2. Modèles d’opinion contre mo
Page 155 and 156:
5.4. Conséquences des phénomènes
Page 157 and 158:
5.5. Conclusion 157 ce qui induit u
Page 159 and 160:
Chapitre 6 Comportements mimétique
Page 161 and 162:
RESEARCH PAPER Q UANTITATIVE F INAN
Page 163 and 164:
A Corcos et al Q UANTITATIVE F INAN
Page 165 and 166:
Page 167 and 168:
Page 169 and 170:
Page 171 and 172:
Page 173 and 174:
Page 175 and 176:
Page 177 and 178:
Page 179:
Deuxième partie Etude des proprié
Page 182 and 183:
182 7. Etude de la dépendance à l
Page 184 and 185:
Page 186 and 187:
Page 188 and 189:
Page 190 and 191:
Page 192 and 193:
192 8. Tests de copule gaussienne
Page 194 and 195:
194 8. Tests de copule gaussienne 1
Page 196 and 197:
Page 198 and 199:
Page 200 and 201:
200 8. Tests de copule gaussienne t
Page 202 and 203:
202 8. Tests de copule gaussienne T
Page 204 and 205:
204 8. Tests de copule gaussienne a
Page 206 and 207:
206 8. Tests de copule gaussienne c
Page 208 and 209:
208 8. Tests de copule gaussienne t
Page 210 and 211:
210 8. Tests de copule gaussienne (
Page 212 and 213:
212 8. Tests de copule gaussienne R
Page 214 and 215:
Page 216 and 217:
Page 218 and 219:
Page 220 and 221:
Page 222 and 223:
Page 224 and 225:
Page 226 and 227:
Page 228 and 229:
228 8. Tests de copule gaussienne f
Page 230 and 231:
Page 232 and 233:
Page 234 and 235:
Page 236 and 237:
236 8. Tests de copule gaussienne T
Page 238 and 239:
238 9. Mesure de la dépendance ext
Page 240 and 241:
Page 242 and 243:
Page 244 and 245:
Page 246 and 247:
Page 248 and 249:
Page 250 and 251:
Page 252 and 253:
Page 254 and 255:
Page 256 and 257:
Page 258 and 259:
Page 260 and 261:
Page 262 and 263:
Page 264 and 265:
Page 266 and 267:
Page 268 and 269:
Page 270 and 271:
Page 272 and 273:
Page 274 and 275:
Page 276 and 277:
Page 278 and 279:
Page 280 and 281:
Page 282 and 283:
Page 284 and 285:
Page 286 and 287:
Page 288 and 289:
Page 290 and 291:
Page 292 and 293:
Page 294 and 295:
Page 296 and 297:
Page 298 and 299:
Page 300 and 301:
Page 302 and 303:
Page 304 and 305:
Page 306 and 307:
Page 308 and 309:
Page 310 and 311:
Page 312 and 313:
Page 314 and 315:
Page 316 and 317:
Page 318 and 319:
Page 320 and 321:
Page 322 and 323:
Page 324 and 325:
Page 326 and 327:
Page 328 and 329:
Page 330 and 331:
Page 332 and 333:
Page 334 and 335:
Page 336 and 337:
Page 338 and 339:
Page 340 and 341:
Page 342 and 343:
Page 345 and 346:
Chapitre 10 La mesure du risque Dan
Page 347 and 348:
10.1. La théorie de l’utilité 3
Page 349 and 350:
Page 351 and 352:
Page 353 and 354:
10.2. Les mesures de risque cohére
Page 355 and 356:
Page 357 and 358:
Page 359 and 360:
10.3. Les mesures de fluctuations 3
Page 361 and 362:
10.4. Conclusion 361 et de manière
Page 363 and 364:
Chapitre 11 Portefeuilles optimaux
Page 365 and 366:
11.2. Prise en compte des grands ri
Page 367 and 368:
11.3. Equilibre de marché 367 s’
Page 369 and 370:
11.5. Annexe 369 Collective Origin
Page 371 and 372:
11.5. Annexe 371 point λ = 1. Thus
Page 373 and 374:
Chapitre 12 Gestion des risques gra
Page 375 and 376:
12.1. Comprendre et gérer les risq
Page 377 and 378:
Page 379 and 380:
Page 381 and 382:
12.2. Minimiser l’impact des gran
Page 383 and 384:
Page 385 and 386:
Page 387 and 388:
Chapitre 13 Gestion de portefeuille
Page 389 and 390:
VaR-Efficient Portfolios for a Clas
Page 391 and 392:
dependence: from independence to co
Page 393 and 394:
given a series of return {rt}t foll
Page 395 and 396:
eads cV (u1, · · · , un) = 1
Page 397 and 398:
THEOREM 4 (TAIL EQUIVALENCE FOR A S
Page 399 and 400:
Independent Assets Comonotonic Asse
Page 401 and 402:
3.2 Typical recurrence time of larg
Page 403 and 404:
and finally w ∗ i = χ−1 i j
Page 405 and 406:
where the ˆwi’s are solution of
Page 407 and 408:
Choosing x > y > Aɛ, and applying
Page 409 and 410:
Expanding fi(xi) around x ∗ i yie
Page 411 and 412:
for all h ∈ AC. Thus, integrating
Page 413 and 414:
B Asymptotic distribution of the su
Page 415 and 416:
This yields × h+ Sc−2 − 2 dh
Page 417 and 418:
References Acerbi, A. and D. Tasche
Page 419 and 420:
Malevergne, Y. and D. Sornette, 200
Page 421 and 422:
ln(T/T 0 ) T Figure 2: Logarithm
Page 423 and 424:
Chapitre 14 Gestion de Portefeuille
Page 425 and 426:
Multi-Moments Method for Portfolio
Page 427 and 428:
choosen risk measure. Section 5 pre
Page 429 and 430:
The variance of the return X of an
Page 431 and 432:
This property is verified for all c
Page 433 and 434:
µn=α of order n = 2, 4, 6 and 8.
Page 435 and 436:
these two assets or portfolios. The
Page 437 and 438:
Due to the homogeneity property of
Page 439 and 440:
invested in the risky fund depends
Page 441 and 442:
C. Then, if g1(X1), · · · , gn(X
Page 443 and 444:
Differentiating with respect to x1,
Page 445 and 446:
7.2 Transformation of the modified
Page 447 and 448:
In the sequel, we will first evalua
Page 449 and 450:
8.3 Non-symmetric assets In the cas
Page 451 and 452: y the variance will then increase).
Page 453 and 454: A Description of the data set We ha
Page 455 and 456: thus and finally 1 λ1 n−1 = w
Page 457 and 458: C Composition of the market portfol
Page 459 and 460: D Generalized capital asset princin
Page 461 and 462: This brings us back to the problem
Page 463 and 464: F.2 General case We now consider a
Page 465 and 466: Harvey, C.R. and A. Siddique, 2000,
Page 467 and 468: µ µ2 1/2 µ4 1/4 µ6 1/6 µ8 1/8
Page 469 and 470: Mean (10 −3 ) Variance (10 −3 )
Page 471 and 472: μ (daily return) x 10−3 2.5 2 1.
Page 473 and 474: w i w i 0.2 0.15 0.1 0.05 Mean−μ
Page 475 and 476: Figure 6: Schematic representation
Page 477 and 478: Empirical Cumulative Distribution 1
Page 479 and 480: Z 2 1 0.9 0.8 0.7 0.6 0.5 0.4 0.3 0
Page 481 and 482: Z 2 1 0.9 0.8 0.7 0.6 0.5 0.4 0.3 0
Page 483 and 484: 10 0 10 −1 10 0 10 −1 10 −1 1
Page 485 and 486: 10 0 10 −1 10 0 10 −1 10 −1 1
Page 487 and 488: κ 22 20 18 16 14 12 10 8 6 4 2 Exc
Page 489 and 490: Return μ 0.12 0.11 0.1 0.09 0.08 0
Page 491 and 492: Conclusions et Perspectives L’obj
Page 493 and 494: Conclusion 493 en univers gaussien
Page 495 and 496: Annexe A Evaluation de la conduite
Page 497 and 498: A.2. Eléments de contexte 497 bora
Page 499 and 500: A.4. Compétences acquises et ensei
Page 501: A.5. Conclusion 501 de la recherche
Page 505 and 506: Bibliographie 505 BOUCHAUD, J. P. E
Page 507 and 508: Bibliographie 507 DE FINETTI, B. (1
Page 509 and 510: Bibliographie 509 GRANGER, C. W. ET
Page 511 and 512: Bibliographie 511 LILLO, F. ET R. N
Page 513 and 514: Bibliographie 513 PATTON, A. (2001)
Page 515: Bibliographie 515 SUSMEL, R. (1996)
show all

statistique, théorie et gestion de portefeuille - Docs at ISFA

Create successful ePaper yourself

Delete template?

Save as template?