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Économétrie du portefeuille : l’approche de l’information

Author

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  • Jean-Michel COURTAULT

    (CRESE, Université de Franche-Comté)

Abstract

Dans cet article nous développons l'approche de l'information de Theil [1975] au problème de la sélection de portefeuille. L'équation matricielle fondamentale de la théorie de la sélection de portefeuille est résolue et les propriétés des demandes d'actifs sont étudiées. L'accent est mis en particulier sur l'étude des effets de substitution spécifiques et généraux et des effets richesse. Nous proposons un modèle de sélection de portefeuille analogue au modèle de consommation dit «modèle de Rotterdam ». Enfin nous étudions les implications de nos résultats pour le modèle de Parkin [1970].

Suggested Citation

  • Jean-Michel COURTAULT, 1994. "Économétrie du portefeuille : l’approche de l’information," Discussion Papers (REL - Recherches Economiques de Louvain) 1994024, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    • Handle: RePEc:ctl:louvre:1994024
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    File URL: http://www.jstor.org/stable/40724054
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    Cited by:

    1. Jean-Michel Courtault, 1993. "Substitution et complémentarité des actifs financiers: le cas Moyenne-Variance," Working Papers halshs-00447527, HAL.

    More about this item

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General

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