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Gestion de portefeuille avec garantie: l'allocation optimale en actifs derives

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Author Info

  • Bertrand, P.
  • lesne, J.-P.
  • Prigent, J.-L.

Abstract

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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Bibliographic Info

Paper provided by Universite Aix-Marseille III in its series G.R.E.Q.A.M. with number 00a03.

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Length: 24 pages
Date of creation: 2000
Date of revision:
Handle: RePEc:fth:aixmeq:00a03

Contact details of provider:
Postal: G.R.E.Q.A.M., (GROUPE DE RECHERCHE EN ECONOMIE QUANTITATIVE D'AIX MARSEILLE), CENTRE DE VIEILLE CHARITE, 2 RUE DE LA CHARITE, 13002 MARSEILLE.
Phone: 04.91.14.07.70
Fax: 04.91.90.02.27
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Web page: http://www.greqam.fr/
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Keywords: ASSURANCE ; RISQUE ; MARCHE FINANCIER;

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Cited by:
  1. Rania Hentati & Jean-Luc Prigent, 2012. "Structured portfolio analysis under SharpeOmega ratio," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00657327, HAL.
  2. repec:hal:wpaper:hal-00657327 is not listed on IDEAS

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