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514 Bibliographie SAMUELSON, P. A. (1941) : “The stability of equilibirum”, Econometrica 9, 97–120. SAMUELSON, P. A. (1958) : “The fundamental approximation theorem ofportfolio analysis in terms of means variances and higher moments”, Review of Economic Studies 25, 65–86. SAMUELSON, P. A. (1965) : “Proof that properly anticipated prices fluctuates randomly”, Industrial management Review 6, 41–50. SAMUELSON, P. A. (1973) : “Mathematics of speculative price”, SIAM Review 15, 1–42. SAVAGE, L. (1954) : The fundations of statistics, John Wiley, New York. SCAILLET, O. (2000a) : “Nonparametric estimation and sensitivity analysis of expected shortfall”, Document de Travail, HEC Genève. SCAILLET, O. (2000b) : “Nonparametric estimation of copulas for time series”, Document de Travail, Université Catholique de Louvain. SCHMEIDLER, D. (1986) : “Integral representation without additivity”, Proceedings of the American Mathematical Society 97, 255–261. SCHMEIDLER, D. (1989) : “Subjective probability and expected utility without additivity”, Econometrica 57, 571–587. SHAPIRO, A. ET S. BASAK (2000) : “Value-at-Risk based risk management : Optimal policies and asset prices”, Review of Financial Studies 14, 371–405. SHARPE, W. (1964) : “Capital asset prices : A theory of market equilibrium under conditions of risk”, Journal of Finance 19, 425–442. SHEFFRIN, H. (2000) : Beyond Greed and Fear : Understanding Behavioral Finance and the Psychology of Investing, Havard Business School Press. SHILLER, R. J. (2000) : Irrational Exuberance, Princetown university Press. SHLEIFFER, A. (2000) : Inefficient Market : an Introduction to Behavioral Finance, Oxford University Press. SKLAR, A. (1959) : “Fonction de répartition à n dimensions et leurs marges”, Publ. Inst. Statist. Univ. Paris 8, 229–231. SMITH, A. (1776) : An Inquiry into the Nature and Causes of the Wealth of Nations, R. H. Campbell and A. S Skinner (eds.), Oxford, UK : Clarenton Press, 1976. SMITH, V. L. (1994) : “Economics in the laboratory”, Journal of Economic Persectives 8, 113–131. SMITH, V. L. (1998) : “The two faces of Adam Smith”, Southern Economic Journal 95, 1–19. SORNETTE, D. (2000) : Critical Phenomena in Natural Sciences, Springer. SORNETTE, D., J. V. ANDERSEN ET P. SIMONETTI (2000) : “Portfolio theory for “Fat Tails””, International journal of Theoretical and Applied Finance 3, 523–535. SORNETTE, D., P. SIMONETTI ET J. ANDERSEN (2000) : “φ q -field theory for portfolio optimization : ”fat-tails” and non-linear correlations”, Physics Reports 335, 19–92. SORNETTE, D. ET J. V. ANDERSEN (2002) : “A nonlinear super-exponential rational model of speculative financial bubbles”, International Journal of Modern Physics 13, 171–188. SORNETTE, D. ET Y. MALEVERGNE (2001) : “From rational bubbles to crashes”, Physica A 299, 10–59. SORNETTE, D., Y. MALEVERGNE ET J. F. MUZY (2002) : “Volatility fingerprints of large shocks : Endogeneous versus exogeneous”, forthcoming Risk . STAUFFER, D. ET D. SORNETTE (1999) : “Self-organized percolation model for stock market fluctuations”, Physica A 271, 496–506.
Bibliographie 515 SUSMEL, R. (1996) : “Switching volatility in international equity market”. Dept. of Finance, University of Houston. SZERGÖ, G. (1999) : “A critique to Basel regulation, or how to enhance (im)moral hazards”, Proceedings of the International Conference on Risk Management and Regulation in Banking, Bank of Israel, Kluwer. TASCHE, D. (2000) : “Risk contribrutions and performance measurement”, Document de Travail, TU München. TASCHE, D. (2002) : “Expected shortfall and beyond”, Journal of Banking & Finance 26, 1519–1533. TASCHE, D. ET L. TIBILETTI (2001) : “Approximations for the value-at-risk approach to risk-return analysis”, Document de Travail 269733, SSRN. THALLER, R. H. (ed.) (1993) : Advances in Behavioral Finance, Russel Sage Foundation, New York. VALDEZ, E. A. (2001) : “Bivariate analysis of survivorship and persistency”, Insurance : Mathematics and Economics 29, 357–373. VENEZIANO, D., G. E. MOGLEN ET R. L. BRAS (1995) : “Multifractal analysis : pitfalls of standard procedures and alternatives”, Physical Review E 52, 1387–1398. VON NEUMANN, J. ET O. MORGENSTERN (1947) : Theory of games and economic behavior, Princetown University Press. WANG, T. (1999) : “A class of dynamic risk measures”, Document de Travail, University of British Columbia. WESTERHOFF, F. H. (2001) : “Speculative markets and the effectiveness of price limits”, Document de Travail, Universität Osnabrück. WESTERHOFF, F. H. (2002) : “Heterogeneous traders and the Tobin tax”, Document de Travail, Universität Osnabrück. WISHART, J. (1928) : “The generalized product moment distribution in samples from a multinormal population”, Biometrika 20, 32. ZAKOIAN, J. M. (1994) : “Threshold heteroskedastic models”, Journal of Economic Dynamics and Control 18, 931–986. ZHANG, Y. C. (1999) : “Toward a theory of marginally efficient markets”, Physica A 269, 30–44.
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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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Deuxième partie Etude des proprié
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182 7. Etude de la dépendance à l
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192 8. Tests de copule gaussienne
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194 8. Tests de copule gaussienne 1
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200 8. Tests de copule gaussienne t
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202 8. Tests de copule gaussienne T
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204 8. Tests de copule gaussienne a
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206 8. Tests de copule gaussienne c
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208 8. Tests de copule gaussienne t
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210 8. Tests de copule gaussienne (
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212 8. Tests de copule gaussienne R
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228 8. Tests de copule gaussienne f
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236 8. Tests de copule gaussienne T
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238 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
Page 463 and 464: F.2 General case We now consider a
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Page 469 and 470: Mean (10 −3 ) Variance (10 −3 )
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Page 473 and 474: w i w i 0.2 0.15 0.1 0.05 Mean−μ
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Page 479 and 480: Z 2 1 0.9 0.8 0.7 0.6 0.5 0.4 0.3 0
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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 and 502: A.5. Conclusion 501 de la recherche
Page 503 and 504: Bibliographie ACERBI, C. (2002) :
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: Bibliographie 513 PATTON, A. (2001)
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