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Mesures De Performances Ajustées Pour Le Risque (Mpar) Et Allocation Des Capitaux Propres

Author

Listed:
  • Jean-Laurent Viviani

    (Centre de recherche - LARGO - UA - Université d'Angers)

Abstract

Le développement de la gestion du risque fondée sur la VaR (Value at Risk) sert de cadre à un ensemble de mesures de performances ajustées pour le risque. L'article présente les mesures de base et leurs propriétés. Le rapprochement de la gestion du risque avec la gestion de portefeuille espérance variance permet de démontrer la validité de l'utilisation de ces mesures pour l'allocation des capitaux propres et leur compatibilité avec le Modèle d'Evaluation des Actifs Financiers (MEDAF). Ce rapprochement nous conduit à proposer deux nouvelles mesures de performance ajustés pour le risque.

Suggested Citation

  • Jean-Laurent Viviani, 2000. "Mesures De Performances Ajustées Pour Le Risque (Mpar) Et Allocation Des Capitaux Propres," Post-Print halshs-00587521, HAL.
  • Handle: RePEc:hal:journl:halshs-00587521
    Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00587521
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    References listed on IDEAS

    as
    1. Admati, Anat R, et al, 1986. " On Timing and Selectivity," Journal of Finance, American Finance Association, vol. 41(3), pages 715-730, July.
    2. Dybvig, Philip H & Ross, Stephen A, 1985. " Differential Information and Performance Measurement Using a Security Market Line," Journal of Finance, American Finance Association, vol. 40(2), pages 383-399, June.
    Full references (including those not matched with items on IDEAS)

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    Keywords

    MEDAF; Performance; RAROC; risque; Value at Risk;

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