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

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  • 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.

Suggested Citation

  • Paquay, P., 1998. "Deux modeles d'equilibre de marche: le portefeuille de Markowitz et le CAPM," Liege - Groupe d'Etude des Mathematiques du Management et de l'Economie 9816, UNIVERSITE DE LIEGE, Faculte d'economie, de gestion et de sciences sociales, Groupe d'Etude des Mathematiques du Management et de l'Economie.
    • Handle: RePEc:fth:gemame:9816
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    More about this item

    Keywords

    MARCHE FINANCIER ; RISQUE ; MODELES ECONOMIQUES;
    All these keywords.

    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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