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Sur une mesure d'efficience relative dans la théorie du portefeuille de Markowitz

Author

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  • Patrick Roger

    (Laboratoire de Recherche en Gestion et Economie, Université Louis Pasteur)

  • Maxime Merli

Abstract

Dans cet article, nous proposons un indice d'effcience relative des porte- feuilles de titres permettant le classement d'un ensemble de portefeuilles en considérant que l'univers d'investissement est réduit à l'ensemble des titres à classer. Cet indice est basé sur l'équation de la frontière effciente des oppor- tunités d'investissement retenues ; il ne nécessite pas de référence à un taux sans risque ou à un benchmark extérieur. En conséquence, des portefeuilles de nature différente peuvent être classés ; la principale limite de cet indice est toutefois l'impossibilité de classer les portefeuilles situés dans la partie in- férieure de la frontière, c'est-à-dire ceux qui sont dominés par le portefeuille de variance minimum.

Suggested Citation

  • Patrick Roger & Maxime Merli, 2001. "Sur une mesure d'efficience relative dans la théorie du portefeuille de Markowitz," Working Papers of LaRGE Research Center 2001-01, Laboratoire de Recherche en Gestion et Economie (LaRGE), Université de Strasbourg.
    • Handle: RePEc:lar:wpaper:2001-01
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