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Deux modeles d'equilibre de marche: le portefeuille de Markowitz et le CAPM

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Author Info
Paquay, P.
Abstract

Notre but dans cet article est de montrer comment des theories mathematiques classiques et a priori abstraites peuvent trouver de tres belles applications dans le domaine financier. Le cas de la gestion des portefeuilles et du CAPM sont d'autant plus remarquables qu'ils restent encore aujourd'hui des references en finance en raison de leur grande simplicite; fournissant ainsi la preuve, s'il en etait encore besoin, que theorie et applications pratiques ne sont pas deux domaines a tout jamais disjoints.

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Publisher Info
Paper provided by UNIVERSITE DE LIEGE, Faculte d'economie, de gestion et de sciences sociales, Groupe d'Etude des Mathematiques du Management et de l'Economie in its series Liege - Groupe d'Etude des Mathematiques du Management et de l'Economie with number 9816.

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Length: 19 pages
Date of creation: 1998
Date of revision:
Handle: RePEc:fth:gemame:9816

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Postal: UNIVERSITE DE LIEGE, Faculte d'economie, de gestion et de sciences sociales, Groupe d'Etude des Mathematiques du Management et de l'Economie. 4000 Liege, BELGIQUE
Web page: http://www.sig.egss.ulg.ac.be/gemme/
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Related research
Keywords: MARCHE FINANCIER RISQUE MODELES ECONOMIQUES

Find related papers by JEL classification:
G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General

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This page was last updated on 2008-7-29.


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