De plus en plus d'investisseurs adoptent une gestion indicielle, c'est-a-dire en composant leur portefeuille d'actifs en fonction des poids d'un indice de reference (benchmark). Nous montrons que le developpement de cette technique accroit la volatilite des prix d'equilibre des actifs detenus.
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Paper provided by Caisse des Depots et Consignations - Cahiers de recherche in its series Papers with number
2000-17/fi.
Length: 23 pages Date of creation: 2000 Date of revision: Handle: RePEc:fth:cadeco:2000-17/fi
Contact details of provider: Postal: Caisse des depots et consignations, Services des etudes economiques et financieres, 195 Boulevard Saint Germain- 75007 Paris, France.
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