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Arrivee d'information et investissement: etude dans un modele simple de choix de portefeuille

Listed author(s):
  • Treich, N.

La litterature sur les decisions d'investissement en incertitude a largement souligne l'interet de reporter la mise en oeuvre des investissements les plus risques en attendant l'arrivee de nouvelles informations sur leurs rentabilites. Nous utilisons le modele standard de choix de portefeuille pour montrer 1)qu'il faut considerer avec mesure cette idee car la volonte de tirer profit des informations attendues incite aussi a adopter une position plus risquee a court terme, 2) que les investisseurs representes par des fonctions d'utilite dites HARA n'integrent pas les opportunites d'information dans leurs sequences optimales d'investissement.

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Paper provided by Toulouse - GREMAQ in its series Papers with number 98.494.

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Length: 28 pages
Date of creation: 1998
Handle: RePEc:fth:gremaq:98.494
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