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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://shs.hal.science/halshs-00587521
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    References listed on IDEAS

    as
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    4. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
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