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La gestion collective dans un marché agité : la dynamique des styles à partir des cartes de Kohonen

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Author Info

  • Catherine Aaron
  • Sébastien Galanti
  • Yamina Tadjeddine

Abstract

Asset management in turbulent marketsanalyzing investment styles dynamics The aim of this paper is to observe the group dynamic of fund managers during an interesting period: January 99- July 02 that includes many financial events as financial cracks, high speculation on new technologies,... We defined a strategy as the sensitivity to French stock market indexes. We projected strategies on a Kohonen Map. We propose a new approach to analyse the group dynamic by studying moving on this map.

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Bibliographic Info

Article provided by Dalloz in its journal Revue d'économie politique.

Volume (Year): Volume 114 (2004)
Issue (Month): 4 ()
Pages: 507-526

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Handle: RePEc:cai:repdal:redp_144_0507

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Web page: http://www.cairn.info/revue-d-economie-politique.htm

Related research

Keywords: portfolio choice; mutual funds; investment styles; stock; selection; Kohonen maps;

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Cited by:
  1. Claude DUPUY (GREThA UMR CNRS 5113) & Matthieu MONTALBAN (GREThA UMR CNRS 5113) & Sylvain MOURA (GREThA UMR CNRS 5113), 2009. "Finance and Industrial Dynamics (In French)," Cahiers du GREThA 2009-24, Groupe de Recherche en Economie Théorique et Appliquée.

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