Download or read book La duplication d option et la strat gie d assurance de portefeuille written by Philippe Schintowski and published by . This book was released on 2019 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book L ASSURANCE DE PORTEFEUILLE written by Hervé Ravily and published by . This book was released on 1992 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: DE NOMBREUX INVESTISSEURS SOUHAITENT ASSURER LEUR PORTEFEUILLE OBLIGATAIRE. CERTAINES OPTIONS PEUVENT REMPLIR CETTE FONCTION D'ASSURANCE. LES OPTIONS COTEES NE SONT MALHEUREUSEMENT PAS ADEQUATES POUR ASSURER UN PORTEFEUILLE. LE RAISONNEMENT D'ARBITRAGE, DEVELOPPE A L'ORIGINE PAR BLACK ET SCHOLES, QUE L'ON UTILISE POUR EVALUER DES OPTIONS, PERMET CEPENDANT DE DUPLIQUER DES OPTIONS A PARTIR D'ACTIFS EXISTANTS. LA PRECISION DE LA DUPLICATION EST TOUTEFOIS FORTEMENT DEPENDANTE DE LA PERTINENCE DU MODELE D'EVALUATION RETENU. LA PROBLEMATIQUE DE L'ASSURANCE SE SITUE, A L'HEURE ACTUELLE, ESSENTIELLEMENT A CE NIVEAU. LES RECHERCHES SE SONT JUSQU'ICI PRESQUE ENTIEREMENT FOCALISEES SUR L'ASSURANCE DES PORTEFEUILLES D'ACTIONS. UNE ETUDE DE CES TRAVAUX NOUS EST APPARUE CONSTITUER UN POINT DE PASSAGE OBLIGE HISTORIQUEMENT ET THEORIQUEMENT. ON S'EST ENSUITE INTERESSE AUX DIVERS MODELES ELABORES POUR EVALUER LES OPTIONS SUR OBLIGATION. NOTRE CHOIX S'EST ARRETE SUR CELUI CONCU PAR SCHAEFER ET SCHWARTZ. UNE VERIFICATION EMPIRIQUE A MONTRE, ON DOIT LE RECONNAITRE, QUE LA STRATEGIE DE DUPLICATION FONDEE SUR L'UTILISATION DE CE MODELE DONNE DES RESULTATS PEU SATISFAISANTS.
Download or read book Duplication d options et strat gies d assurance de portefeuille written by Taoufique Hind and published by . This book was released on 2004 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Comparaison de trois strat gies d assurance de portefeuille une strat gie passive written by Kimy Métivier and published by . This book was released on 2000 with total page 134 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Efficience et strat gies d assurance de portefeuille written by Jean-Jacques Lilti and published by . This book was released on 1993 with total page 1212 pages. Available in PDF, EPUB and Kindle. Book excerpt: Si la notion d'efficience permit une avancée considérable de la recherche financière, les déséquilibres récents atténuent la portée présumée du concept. L'étude économétrique réalisée ainsi que les simulations de plusieurs techniques d'assurance de portefeuille permettent de tester deux hypothèses pour expliquer ces anomalies. Soit la formulation de l'efficience est actuellement inadaptée (remise en cause de l'hypothèse de marché aléatoire), soit certaines méthodes d'assurance (la duplication) induisent une réelle inefficience.
Download or read book Assurance de portefeuille et strat gie du coussin written by Benjamin Hamidi and published by . This book was released on 2005 with total page 110 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Options allocation optimale de richesse et co ts de transaction written by Nader Trabelsi and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: L'objectif principal de ce présent travail est la mise en évidence de l'apport des options à l'optimisation de la richesse des investisseurs et à l'efficacité globale du système financier. En présence de coûts de transaction et pour des taux de rendement d'actifs volatils, l'investissement dynamique apparaît onéreux ou à défaut, sous-estimé. Le recours à une stratégie Buy and Hold permet de pallier les conséquences de ces coûts, mais accroît la perte en capital. Dans ce travail, nous montrons que l'introduction d'options améliore et stabilise les revenus, de certaines politiques et notamment, l'allocation optimale d'actifs. Notre méthodologie se fonde sur le principe de réplication adopté par Black et Scholes (1973). Dans le contexte d'un Buy and Hold à base d'options, la réplication de l'allocation standard revient à optimiser deux fonctions objectifs : minimisation de MSE (Mean-squared Errors) et minimisation de WMSE (Weigted Mean-squared Errors). Les portefeuilles Buy and Hold sélectionnés sont ceux ayant un coût de réplication inférieur aux coûts prévus par l'investissement dynamique. Les tests de vérification de l'efficacité des stratégies de réplications portent, sur le placement optimal d'un investisseur averse au risque sur un horizon de 10 ans. Les options sont supposées être de gré à gré : des prix d'exercice sont approximés par un arbre binomial multipériodique. Les premiers résultats mettent en évidence l'existence de plusieurs stratégies Buy and Hold contenant des options, plus performantes que l'allocation de Samuelson et Merton (1969). En supposant que les coûts de transaction sont proportionnels aux volumes des actifs financiers, l'espace de révision dynamique de portefeuille se définit par la présence d'une région de non-activité. L'analyse de la gestion ex ante coût/profit, nous a permis de prévoir l'activité du gestionnaire de fonds et son coût spécifique. Le rapprochement de ces coûts de gestion avec les coûts de réplication soutient la conception de tout un bloc de portefeuilles de répliques plus performants que l'allocation dynamique de fonds. Le comportement optimal de l'agent économique, la diversification de fonds en l'occurrence, est fonction du nombre, du type, ainsi que de sa position sur les options. Afin de fixer sa décision, il choisit, depuis la négociation avec son banquier, l'une des stratégies maximisant ses préférences, indépendamment des imperfections du marché. Par la suite, la vérification empirique s'intéresse au placement à court terme sur l'indice CAC 40 et des options d'achat à échéances 6 mois, lancées sur le MONEP. Les résultats prouvent l'efficacité du portefeuille réplique en permettant à l'investisseur d'avoir une richesse terminale quasi-égale à celle attendue par l'allocation standard. Une certaine analogie a été constatée entre les stratégies répliques et les mécanismes de produits de couverture à base d'option et actif support, en l'occurrence le capital garanti, Covered Call Writing et Protected Put
Download or read book Parliamentary Oversight of the Security Sector written by Philipp Fluri and published by DCAF. This book was released on 2003 with total page 209 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Sustainable Agriculture Reviews 14 written by Harry Ozier-Lafontaine and published by Springer. This book was released on 2014-09-03 with total page 520 pages. Available in PDF, EPUB and Kindle. Book excerpt: Sustainable agriculture is a rapidly growing field aiming at producing food and energy in a sustainable way for humans and their children. Sustainable agriculture is a discipline that addresses current issues such as climate change, increasing food and fuel prices, poor-nation starvation, rich-nation obesity, water pollution, soil erosion, fertility loss, pest control, and biodiversity depletion. Novel, environmentally-friendly solutions are proposed based on integrated knowledge from sciences as diverse as agronomy, soil science, molecular biology, chemistry, toxicology, ecology, economy, and social sciences. Indeed, sustainable agriculture decipher mechanisms of processes that occur from the molecular level to the farming system to the global level at time scales ranging from seconds to centuries. For that, scientists use the system approach that involves studying components and interactions of a whole system to address scientific, economic and social issues. In that respect, sustainable agriculture is not a classical, narrow science. Instead of solving problems using the classical painkiller approach that treats only negative impacts, sustainable agriculture treats problem sources. Because most actual society issues are now intertwined, global, and fast-developing, sustainable agriculture will bring solutions to build a safer world.
Download or read book Real Options and Energy Management written by Ehud I. Ronn and published by . This book was released on 2002 with total page 752 pages. Available in PDF, EPUB and Kindle. Book excerpt: A multi-author title that focuses on both the fundamentals of real options, and the practical approaches for their application in the energy industry
Download or read book The Anticompetitive Impact of Regulation written by Giuliano Amato and published by Edward Elgar Publishing. This book was released on 2001-01-01 with total page 536 pages. Available in PDF, EPUB and Kindle. Book excerpt: This timely book addresses the important issue of the negative effects of anticompetitive regulation on industry and the massive economic harm it causes. The distinguished contributors, including economic and legal scholars, advocate the need for a review of all anticompetitive laws and address several industry and country case studies with the ultimate aim of providing recommendations to eliminate the impact of anticompetitive regulation. The first part of the book considers regulations affecting private business and professions, part two covers public utility and public services regulation, whilst part three discusses the role of institutions and competition authorities in relation to anticompetitive practices. The authors draft guidelines, based on economic evidence and legal arguments, which they believe would provide a starting point for the European Union to address the problem. They go on to propose possible implementation strategies for these guidelines from both an institutional and legal perspective. The book also includes a historical perspective on the evolution of anticompetitive regulation complemented by an overview of the actions currently being implemented to address and reverse the problem in other jurisdictions.
Download or read book Edinburgh Gazette written by Stationery Office, The and published by . This book was released on 1990-12-31 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Company Law Official Notifications Supplement
Download or read book Rediscovering the Cooperative Advantage written by Johnston Birchall and published by . This book was released on 2003 with total page 90 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book City Economics written by Brendan O'Flaherty and published by Harvard University Press. This book was released on 2005-10-30 with total page 616 pages. Available in PDF, EPUB and Kindle. Book excerpt: This introductory but innovative textbook on the economics of cities is aimed at students of urban and regional policy as well as of undergraduate economics. It deals with standard topics, including automobiles, mass transit, pollution, housing, and education but it also discusses non-standard topics such as segregation, water supply, sewers, garbage, fire prevention, housing codes, homelessness, crime, illicit drugs, and economic development. Its methods of analysis are primarily verbal, geometric, and arithmetic. The author achieves coherence by showing how the analysis of various topics reinforces one another. Thus, buses can tell us something about schools and optimal tolls about land prices. Brendan O'Flaherty looks at almost everything through the lens of Pareto optimality and potential Pareto optimality--how policies affect people and their well-being, not abstract entities such as cities or the economy or growth or the environment. Such traditionalism leads to radical questions, however: Should cities have police and fire departments? Should tax preferences for home ownership be repealed? Should public schools charge for their services? O'Flaherty also gives serious consideration to such heterodox policies as pay-at-the-pump auto insurance, curb rights for buses, land taxes, marginal cost water pricing, and sidewalk zoning.
Download or read book Strategies for Longevity in Family Firms written by G. Corbetta and published by Springer. This book was released on 2012-09-28 with total page 284 pages. Available in PDF, EPUB and Kindle. Book excerpt: The strategic concepts and tools illustrated in this book provide a framework for devising and implementing strategies favouring longevity of family-controlled business entities. The authors illustrate their arguments with examples drawn from their direct knowledge of representative Italian and European family firms.
Download or read book New American Teenagers written by Barbara Jane Brickman and published by Bloomsbury Publishing USA. This book was released on 2014-03-27 with total page 281 pages. Available in PDF, EPUB and Kindle. Book excerpt: The author challenges the neglect of the 1970s in studies on teen film and youth culture by locating a number of subversive and critical narratives.
Download or read book Sea Plants written by and published by Elsevier. This book was released on 2014-05-21 with total page 593 pages. Available in PDF, EPUB and Kindle. Book excerpt: Advances in Botanical Research publishes in-depth and up-to-date reviews on a wide range of topics in plant sciences. The series features several reviews by recognized experts on all aspects of plant genetics, biochemistry, cell biology, molecular biology, physiology and ecology. This thematic volume, number 71, features reviews on sea plants. Its chapters cover topics such as the role of algae in sustainability; the status of kelp exploitation and marine agronomy; potential applications for enzymatic recovery of metabolites from seaweeds; and many more. - Publishes in-depth and up-to-date reviews on a wide range of topics in plant sciences - Features a wide range of reviews by recognized experts on all aspects of plant genetics, biochemistry, cell biology, molecular biology, physiology, and ecology - Volume features reviews on sea plants
