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Gestion de portefeuille et théorie des marchés financiers

Leutenegger, Marie-Agnès - Université Paris-Dauphine (Paris IX) - 1999

Using exercises and their correction, this book presents fundamentals in portfolio and capital markets theory. The …

Persistent link: https://www.econbiz.de/10010707838

Brière, Marie; Ang, Andrew; Signori, Ombretta - Université Paris-Dauphine (Paris IX) - 2012

We study the inflation hedging ability of individual stocks. While the poor inflation hedging ability of the aggregate stock market has long been documented, there is considerable heterogeneity in how individual stock returns covary with inflation. Stocks with good inflation-hedging abilities...

Persistent link: https://www.econbiz.de/10010707935

Optimal investment with taxes : an optimal control problem with endogeneous delay

Touzi, Nizar; Jouini, Elyès; Koehl, Pierre-François - Université Paris-Dauphine (Paris IX) - 1999

Here, we study the case where the portfolio rebalancement involves the payment of taxes on benefits. Then, the purchasing time of the asset to be sold has to be recorded in order to compute the amount of tax to be paid. In addition to the no-short-selling constraint, our model assumes that sales...

Persistent link: https://www.econbiz.de/10010708018

Financial Markets Equilibrium with Heterogeneous Agents

Napp, Clotilde; Malamud, Semyon; Jouini, Elyès; … - Université Paris-Dauphine (Paris IX) - 2012

heterogeneity. Investors may differ in their beliefs, in their level of risk aversion and in their time preference rate. We study … shares, the market price of risk, the risk free rate, the bond prices at dierent maturities, the stock price and volatility …

Persistent link: https://www.econbiz.de/10010708121

Valuation of an oil field using real options and the information provided by term structures of commodity prices

Lautier, Delphine - Université Paris-Dauphine (Paris IX) - 2003

This article emphasises that the information provided by term structures of commodity prices has an influence on the real option value and on the investment decision. We exhibit first of all the analysis framework: the evaluation of an oil field. We suppose that a single source of uncertainty -...

Persistent link: https://www.econbiz.de/10010708204

Efficient portfolios in financial markets with proportional transaction costs

Campi, Luciano; Jouini, Elyès; Porte, Vincent - Université Paris-Dauphine (Paris IX) - 2013

In this article, we characterize efficient portfolios, i.e. portfolios which are optimal for at least one rational agent, in a very general financial market model with proportional transaction costs. In our setting, transaction costs may be random, time-dependent, have jumps and the preferences...

Persistent link: https://www.econbiz.de/10010708373

Les modèles d'évaluation des actifs financiers et les co-moments d'ordre trois et quatre

Lajili, Souad - Université Paris-Dauphine (Paris IX) - 2004

In this study, we test the size and the book to market effects in explaining stock returns with co-skewness and co-kurtosis on the French Stock Market over July 1976 to June 2001 period. Results of time series regressions of monthly portfolio returns are consistent with the Fama and French...

Persistent link: https://www.econbiz.de/10010708428

Les fonds souverains pétroliers

Chevalier, Jean-Marie - Université Paris-Dauphine (Paris IX) - 2009

Persistent link: https://www.econbiz.de/10010708700

Arbitrage and viability in securities markets with fixed trading costs

Jouini, Elyès; Napp, Clotilde; Kallal, Hedi - Université Paris-Dauphine (Paris IX) - 2001

This paper studies foundational issues in securities markets models with fixed costs of trading, i.e. transactions costs that are bounded regardless of the transaction size, such as fixed brokerage fees, investment taxes, operational, and processing costs or opportunity costs. We show that the...

Persistent link: https://www.econbiz.de/10010708765

Volatility Exposure for Strategic Asset Allocation

Brière, Marie; Burgues, Alexandre; Signori, Ombretta - Université Paris-Dauphine (Paris IX) - 2010

volatility risk premium strategies. An analytical framework, which offers pragmatic solutions for long-term investors who seek … exposure to volatility, is used to calibrate and assess the risk-return profiles of portfolios. The benefit of volatility … exposure for a conventional portfolio is shown through a mean-modified value at risk portfolio optimization. A pure volatility …

Persistent link: https://www.econbiz.de/10010708814