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Les effets de substitution et de richesse de la théorie du portefeuille : une mise au point

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  • Jean-Michel Courtault

    (CEPN - Centre d'Economie de l'Université Paris Nord (ancienne affiliation) - UP13 - Université Paris 13 - CNRS - Centre National de la Recherche Scientifique)

Abstract

Nous montrons dans cet article que l'approche mise en avant par P. Diamond et M. Yaari [1972] pour l'étude des propriétés des demandes d'actifs financiers est la seule qui soit compatible avec une définition correcte des effets de richesse. Nous en déduisons une méthode de compensation des effets de richesse, méthode généralisant et démontrant de façon rigoureuse celle préconisée par G. Davis [1989], qui nous permet de mettre au jour la totalité des propriétés des effets de substitution compensés dans l'incertain. Cette méthode nous permet également d'étudier les propriétés des demandes d'actifs par rapport aux caractéristiques de rendement et de risque des actifs.

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  • Jean-Michel Courtault, 1992. "Les effets de substitution et de richesse de la théorie du portefeuille : une mise au point," Post-Print halshs-00447643, HAL.
    • Handle: RePEc:hal:journl:halshs-00447643
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00447643
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    1. Jean-Michel Courtault, 1993. "Substitution et complémentarité des actifs financiers: le cas Moyenne-Variance," Working Papers halshs-00447527, HAL.

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