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


  • 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.

Suggested Citation

  • Treich, N., 1998. "Arrivee d'information et investissement: etude dans un modele simple de choix de portefeuille," Papers 98.494, Toulouse - GREMAQ.
  • Handle: RePEc:fth:gremaq:98.494

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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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