Nous etudions le probleme de l'allocation optimale de protefeuille en presence d'une contrainte de garantie, lorsque l'investisseur n'a pas la possibilite de changer la constitution de son portefeuille entre la data initiale et la date terminale. Nous montrons comment les actifs derives doivent etre pris en compte lors de la constitution du portefeuille maximisant l'utilite esperee de l'investisseur.
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Publisher Info
Paper provided by Universite Aix-Marseille III in its series G.R.E.Q.A.M. with number
00a03.
Length: 24 pages Date of creation: 2000 Date of revision: Handle: RePEc:fth:aixmeq:00a03
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