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L'or coté à Paris et la diversification des portefeuilles français de 2004 à 2009

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Author Info

  • Thi Hong Van Hoang

    (Laboratoire Orléanais de Gestion)

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    Abstract

    L’objectif de cet article est d’étudier le rôle de l’or coté à Paris (physique et papier) dans la diversification des portefeuilles français durant la période 2004 à 2009. Les résultats obtenus montrent que l’or coté à Paris est peu corrélé avec les actions et les obligations françaises. De même, l’introduction de l’or dans un portefeuille boursier français permet de réduire le risque et d’augmenter la rentabilité de celui-ci. Par conséquent, l’or permet d’améliorer significativement la frontière efficiente ainsi que la performance de ce portefeuille. La proportion de l’or (physique ou papier) à inclure pour minimiser le risque des portefeuilles est de 2% à 5%. Par ailleurs, l’or physique est plus efficace que l’or papier (fonds-or) dans la diversification de portefeuille. De même, l’or (physique ou papier) est plus efficace dans un portefeuille d’actions que dans un portefeuille d’obligations.

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    File URL: http://www.univ-orleans.fr/log/Doc-Rech/Textes-PDF/2010-4.pdf
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    Bibliographic Info

    Paper provided by Laboratoire Orléanais de Gestion - université d'Orléans in its series Working Papers with number 2010-4.

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    Date of creation: 2010
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    Handle: RePEc:log:wpaper:2010-4

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    Keywords: L’or; le marché de l’or à Paris; diversification de portefeuille; corrélation; frontière efficiente; performance de portefeuille;

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