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La gestion stratégique d’actifs d’un fonds de réserve face au risque financier

  • Florence Legros
  • Stéphane Hamayon
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    [fre] Les effets des récentes turbulences financières posent la question de la sensibilité du fonds de réserve pour les retraites à une crise boursière. Pour éclairer ce problème complexe, nous avons placé le fonds dans un environnement virtuel stylisé. Ainsi, tant la dynamique du prix des actifs risqués que celle du besoin de financement du régime par répartition que supplée le fonds ont été simulées. Cette modélisation nous a permis d’encadrer les stratégies de placement minimisant le risque de défaillance du fonds de réserve, puis d’analyser sa sensibilité face à un krach boursier. Les résultats suggèrent que la part des actions dans les allocations stratégiques a plutôt tendance à être sous-pondérée et nous alertent, par ailleurs, sur l’inquiétante faiblesse de l’abondement du fonds de réserve au regard de sa mission présumée.

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    File URL: http://dx.doi.org/doi:10.3406/ecofi.2008.5208
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    File URL: http://www.persee.fr/articleAsPDF/ecofi_0987-3368_2008_hos_7_1_5208/ecofi_0987-3368_2008_hos_7_1_5208.pdf?mode=light
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    Article provided by Programme National Persée in its journal Revue d'économie financière.

    Volume (Year): 7 (2008)
    Issue (Month): 1 ()
    Pages: 205-217

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    Handle: RePEc:prs:recofi:ecofi_0987-3368_2008_hos_7_1_5208
    Note: DOI:10.3406/ecofi.2008.5208
    Contact details of provider: Web page: http://www.persee.fr/web/revues/home/prescript/revue/ecofi

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    1. Eric Jondeau & Michael Rockinger, 2006. "Optimal Portfolio Allocation under Higher Moments," European Financial Management, European Financial Management Association, vol. 12(1), pages 29-55.
    2. Metcalf, Gilbert E. & Hassett, Kevin A., 1995. "Investment under alternative return assumptions Comparing random walks and mean reversion," Journal of Economic Dynamics and Control, Elsevier, vol. 19(8), pages 1471-1488, November.
    3. Andrew W. Lo, A. Craig MacKinlay, 1988. "Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test," Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 41-66.
    4. Stéphane Hamayon & Florence Legros, 2001. "Construction and Impact of a Buffer Fund within the French PAYG Pension Scheme in a Demo-Economic Model," CESifo Working Paper Series 531, CESifo Group Munich.
    5. Wright, Jonathan H, 2000. "Alternative Variance-Ratio Tests Using Ranks and Signs," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(1), pages 1-9, January.
    6. Didier Blanchet, 1992. "Retraites et croissance à long terme. Un essai de simulation," Économie et Prévision, Programme National Persée, vol. 105(4), pages 1-16.
    7. Ronald Balvers & Yangru Wu & Erik Gilliland, 2000. "Mean Reversion across National Stock Markets and Parametric Contrarian Investment Strategies," Journal of Finance, American Finance Association, vol. 55(2), pages 745-772, 04.
    8. Philippe Jorion, 2003. "The Long-Term Risks of Global Stock Markets," Financial Management, Financial Management Association, vol. 32(4), Winter.
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