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Les techniques quantitatives de la gestion de portefeuille

Author

Listed:
  • Renault, Éric

    (GREMAQ-IDEI)

  • Rochet, Jean-Charles

    (GREMAQ-IDEI)

Abstract
The main objective of this article is to show that the "synthetic approach" initiated by Lise Salvas-Bronsard (1972) can be useful to reexamine the quantitative analysis of portfolio management. We pay a tribute to her work in showing that it is useful in allowing the interaction of different approaches. More specifically, we are interested by the relations between certain evaluations of financial assets called "multibeta". We show that these relations can be demonstrated and used by a microeconomic approach (Section 1: Intrinsic portfolio approach), a macroeconomic approach (Section 2: Euler equations and factor models), an econometric approach (Section 3: Least-squares and portfolio agency), and a decisional approach in terms of portfolio management (Section 4: Dynamic portfolio management). L’objectif principal du présent article est de montrer que la « démarche extensive », initiée par Lise Salvas-Bronsard (1972) peut être fructueuse pour reconsidérer les techniques quantitatives de la gestion de portefeuille. Par la même occasion nous rendons hommage à sa démarche synthétique en montrant que celle-ci est toujours éclairante, en permettant des interactions productives entre différents modes d’approche. Nous nous intéressons plus précisément aux relations d’évaluation d’actifs financiers dites multibêtas. Nous montrons que ces relations peuvent être démontrées, interprétées et utilisées, à la fois par une approche micro-économique (section 1 : Approche intrinsèque du problème de portefeuille), une approche macro-économique (section 2 : Équations d’Euler et modèles à facteurs), une approche économétrique (section 3 : Moindres carrés et efficience de portefeuille) et une approche décisionnelle en termes de gestion de portefeuille (section 4 : Gestion dynamique de portefeuille).

Suggested Citation

  • Renault, Éric & Rochet, Jean-Charles, 1997. "Les techniques quantitatives de la gestion de portefeuille," L'Actualité Economique, Société Canadienne de Science Economique, vol. 73(1), pages 265-310, mars-juin.
    • Handle: RePEc:ris:actuec:v:73:y:1997:i:1:p:265-310
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    References listed on IDEAS

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