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Mesures De Performances Ajustées Pour Le Risque (Mpar) Et Allocation Des Capitaux Propres


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  • Jean-Laurent Viviani

    (Centre de recherche - LARGO - Faculté de Droit, d'Economie et de Gestion d'Angers)


Le développement de la gestion du risque fondée sur la VaR (Value at Risk) sert de cadre à un ensemble de mesures de performances ajustées pour le risque. L'article présente les mesures de base et leurs propriétés. Le rapprochement de la gestion du risque avec la gestion de portefeuille espérance variance permet de démontrer la validité de l'utilisation de ces mesures pour l'allocation des capitaux propres et leur compatibilité avec le Modèle d'Evaluation des Actifs Financiers (MEDAF). Ce rapprochement nous conduit à proposer deux nouvelles mesures de performance ajustés pour le risque.

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Bibliographic Info

Paper provided by HAL in its series Post-Print with number halshs-00587521.

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Date of creation: May 2000
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Publication status: Published - Presented, 21ÈME CONGRES DE L'AFC, 2000, France
Handle: RePEc:hal:journl:halshs-00587521

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Keywords: MEDAF ; Performance ; RAROC ; risque ; Value at Risk;


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  1. Admati, Anat R, et al, 1986. " On Timing and Selectivity," Journal of Finance, American Finance Association, vol. 41(3), pages 715-30, July.
  2. Dybvig, Philip H & Ross, Stephen A, 1985. " Differential Information and Performance Measurement Using a Security Market Line," Journal of Finance, American Finance Association, vol. 40(2), pages 383-99, June.
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