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Arrivée d'information et investissement. Etude dans un modèle simple de choix de portefeuille


  • Nicolas Treich


[fre] Arrivée d'information et investissement. Étude dans un modèle simple de choix de portefeuille. . La littérature sur les décisions d'investissement en incertitude a largement souligné l'intérêt de reporter la mise en œuvre des investissements les plus risqués en attendant l'arrivée de nouvelles informations sur leurs rentabilités.. Nous utilisons le modèle standard de choix de portefeuille pour montrer :. 1)qu'il faut considérer avec mesure cette idée car la volonté de tirer profit des informations attendues incite aussi à adopter une position plus risquée à court terme ;. 2)que les investisseurs représentés par des fonctions d'utilité dites HARA n'intègrent pas les opportunités d'information dans leurs séquences optimales d'investissement. [eng] Arrival of information and investment: analysis in the simple portfolio model. . The literature on investment decisions under uncertainty has emphasized that uncertainty and arrival of informations depress current investment. With the help of the standard portfolio model, we show:. 1)that this idea need to be cautiously considered because the willingness to take profit of future information induces more risk-taking;. 2)that investors represented by HARA utility functions do not take into account future information opportunities in their optimal portfolios.

Suggested Citation

  • Nicolas Treich, 1999. "Arrivée d'information et investissement. Etude dans un modèle simple de choix de portefeuille," Revue Économique, Programme National Persée, vol. 50(2), pages 233-254.
  • Handle: RePEc:prs:reveco:reco_0035-2764_1999_num_50_2_410074
    Note: DOI:10.3406/reco.1999.410074

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    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • E22 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Investment; Capital; Intangible Capital; Capacity


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