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Allocation dynamique de portefeuille avec profil de gain asymétrique : risk management, incitations financières et benchmarking

Author: Guillaume TergnyRoland PortaitPatrice PoncetJean-Luc PrigentAlexis CollombAll authors
Publisher: 2011.
Dissertation: Thèse de doctorat : Sciences de gestion : Paris, CNAM : 2011.
Edition/Format:   Computer file : Document : Thesis/dissertation : French
Summary:
Les gérants de portefeuille pour compte de tiers sont souvent jugés par leur performance relative à celle d'un portefeuille benchmark. A ce titre, ils sont amenés très fréquemment à utiliser des modèles internes de "risk management" pour contrôler le risque de sous-performer le benchmark. Par ailleurs, ils sont de plus en plus nombreux à adopter une politique de rémunération incitative, en percevant une
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Genre/Form: Thèses et écrits académiques
Material Type: Document, Thesis/dissertation, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Guillaume Tergny; Roland Portait; Patrice Poncet; Jean-Luc Prigent; Alexis Collomb; Didier Maillard; Conservatoire national des arts et métiers (France).; Ecole doctorale Arts et Métiers (Paris).; École supérieure des sciences économiques et commerciales (Cergy, Val-d'Oise).; Groupe de recherche en économie et gestion (Paris).
OCLC Number: 801103120
Notes: Titre provenant de l'écran-titre.
Description: 1 online resource
Responsibility: Guillaume Tergny ; sous la direction de Roland Portait.

Abstract:

Les gérants de portefeuille pour compte de tiers sont souvent jugés par leur performance relative à celle d'un portefeuille benchmark. A ce titre, ils sont amenés très fréquemment à utiliser des modèles internes de "risk management" pour contrôler le risque de sous-performer le benchmark. Par ailleurs, ils sont de plus en plus nombreux à adopter une politique de rémunération incitative, en percevant une commission de sur-performance par rapport au benchmark. En effet, cette composante variable de leur rémunération leur permet d'augmenter leur revenu en cas de sur-performance sans contrepartie en cas de sous-performance. Or de telles pratiques ont fait récemment l'objet de nombreuses polémiques : la période récente de crise financière mondiale a fait apparaître certaines carences de plusieurs acteurs financiers en terme de contrôle de risque ainsi que des niveaux de prise de risque et de rémunération jugés excessifs. Cependant, l'étude des implications de ces pratiques reste un thème encore relativement peu exploré dans le cadre de la théorie classique des choix dynamiques de portefeuille en temps continu. Cette thèse analyse, dans ce cadre théorique, les implications de ces pratiques de "benchmarking" sur le comportement d'investissement de l'asset manager. La première partie étudie les propriétés de la stratégie dynamique optimale pour l'asset manager concerné par l'écart entre la rentabilité de son portefeuille et celle d'un benchmark fixe ou stochastique (sur ou sous-performance). Nous considérons plusieurs types d'asset managers, caractérisés par différentes fonctions d'utilité et qui sont soumis à différentes contraintes de risque de sous-performance. Nous montrons en particulier quel est le lien entre les problèmes d'investissement avec prise en compte de l'aversion à la sous-performance et avec contrainte explicite de "risk management". Dans la seconde partie, on s'intéresse à l'asset manager bénéficiant d'une rémunération incitative (frais de gestion variables, bonus de sur-performance ou commission sur encours additionnelle). On étudie, selon la forme de ses incitations financières et son degré d'aversion à la sous-performance, comment sa stratégie d'investissement s'écarte de celle de l'investisseur (ou celle de l'asset manager sans rémunération incitative). Nous montrons que le changement de comportement de l'asset manager peut se traduire soit par une réduction du risque pris par rapport à la stratégie sans incitation financière soit au contraire par une augmentation de celui-ci. Finalement, nous montrons en quoi la présence de contraintes de risque de sous-performance, imposées au gérant ou traduisant son aversion à la sous-performance, peut être bénéfique à l'investisseur donnant mandat de gestion financière.

It is common practice to judge third-party asset managers by looking at their financial performance relative to a benchmark portfolio. For this reason, they often choose to rely on internal risk-management models to control the downside risk of their portfolio relative to the benchmark. Moreover, an increasing number are adopting an incentive-based scheme, by charging an over-performance commission relative to the benchmark. Indeed, including this variable component in their global remuneration allows them to increase their revenue in case of over-performance without any penalty in the event of underperforming the benchmark. However, such practices have recently been at the heart of several polemics: the recent global financial crisis has uncovered some shortcomings in terms of internal risk control as well as excessive risk-taking and compensation levels of several financial players. Nevertheless, it appears that analyzing the impact of these practices remains a relatively new issue in continuous time-dynamic asset allocation theory. This thesis analyses in this theoretical framework the implications of these "benchmarking" practices on the asset manager's investment behavior. The first part examines the properties of the optimal dynamic strategy for the asset manager who is concerned by the difference of return between their portfolio and a fix or stochastic benchmark (over- or under-performance). Several asset manager types are considered, defined by different utility functions and different downside-risk constraints. In particular, the link between investment problems with aversion to under-performance and risk management constraints is shown. In the second part, the case of the asset manager who benefits from an incentive compensation scheme (variable asset management fees, over-performance bonuses or additional commission on asset under management), is investigated. We study how, depending on the choice of financial inventive structure and loss aversion level, the asset manager's strategy differs from that of the investor (or the strategy of the asset manager receiving no incentive remuneration). This study shows that the change in investment behavior of the asset manager can lead to both a reduction in the risk taken relative to the strategy without financial incentives or conversely an increase thereof. Finally we show that the existence of downside risk constraints, imposed on the asset manager or corresponding to their aversion for under-performance, can be beneficial to the investor mandating financial management.

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Primary Entity<\/h3>\n
<http:\/\/www.worldcat.org\/oclc\/801103120<\/a>> # Allocation dynamique de portefeuille avec profil de gain asym\u00E9trique : risk management, incitations financi\u00E8res et benchmarking<\/span>\n\u00A0\u00A0\u00A0\u00A0a \nbgn:ComputerFile<\/a>, bgn:Thesis<\/a>, schema:MediaObject<\/a>, schema:CreativeWork<\/a> ;\u00A0\u00A0\u00A0\nbgn:inSupportOf<\/a> \"Th\u00E8se de doctorat : Sciences de gestion : Paris, CNAM : 2011.<\/span>\" ;\u00A0\u00A0\u00A0\nlibrary:oclcnum<\/a> \"801103120<\/span>\" ;\u00A0\u00A0\u00A0\nlibrary:placeOfPublication<\/a> <http:\/\/id.loc.gov\/vocabulary\/countries\/fr<\/a>> ;\u00A0\u00A0\u00A0\nschema:about<\/a> <http:\/\/experiment.worldcat.org\/entity\/work\/data\/1126712772#Thing\/modele_de_taux_d_interet_stochastique<\/a>> ; # Mod\u00E8le de taux d\'int\u00E9r\u00EAt stochastique<\/span>\n\u00A0\u00A0\u00A0\nschema:about<\/a> <http:\/\/experiment.worldcat.org\/entity\/work\/data\/1126712772#Thing\/incitation_financiere<\/a>> ; # Incitation financi\u00E8re<\/span>\n\u00A0\u00A0\u00A0\nschema:about<\/a> <http:\/\/experiment.worldcat.org\/entity\/work\/data\/1126712772#Topic\/ingenierie_financiere<\/a>> ; 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# Aversion \u00E0 la perte<\/span>\n\u00A0\u00A0\u00A0\nschema:about<\/a> <http:\/\/experiment.worldcat.org\/entity\/work\/data\/1126712772#Thing\/benchmarking<\/a>> ; # Benchmarking<\/span>\n\u00A0\u00A0\u00A0\nschema:about<\/a> <http:\/\/experiment.worldcat.org\/entity\/work\/data\/1126712772#Thing\/value_at_risk<\/a>> ; # Value at Risk<\/span>\n\u00A0\u00A0\u00A0\nschema:about<\/a> <http:\/\/experiment.worldcat.org\/entity\/work\/data\/1126712772#Thing\/probleme_moyenne_variance<\/a>> ; # Probl\u00E8me Moyenne-Variance<\/span>\n\u00A0\u00A0\u00A0\nschema:author<\/a> <http:\/\/experiment.worldcat.org\/entity\/work\/data\/1126712772#Person\/tergny_guillaume_1972<\/a>> ; # Guillaume Tergny<\/span>\n\u00A0\u00A0\u00A0\nschema:contributor<\/a> <http:\/\/experiment.worldcat.org\/entity\/work\/data\/1126712772#Person\/portait_roland<\/a>> ; # Roland Portait<\/span>\n\u00A0\u00A0\u00A0\nschema:contributor<\/a> <http:\/\/experiment.worldcat.org\/entity\/work\/data\/1126712772#Person\/maillard_didier<\/a>> ; # Didier Maillard<\/span>\n\u00A0\u00A0\u00A0\nschema:contributor<\/a> <http:\/\/experiment.worldcat.org\/entity\/work\/data\/1126712772#Organization\/groupe_de_recherche_en_economie_et_gestion_paris<\/a>> ; # Groupe de recherche en \u00E9conomie et gestion (Paris).<\/span>\n\u00A0\u00A0\u00A0\nschema:contributor<\/a> <http:\/\/experiment.worldcat.org\/entity\/work\/data\/1126712772#Person\/prigent_jean_luc_1958<\/a>> ; # Jean-Luc Prigent<\/span>\n\u00A0\u00A0\u00A0\nschema:contributor<\/a> <http:\/\/experiment.worldcat.org\/entity\/work\/data\/1126712772#Person\/collomb_alexis<\/a>> ; # Alexis Collomb<\/span>\n\u00A0\u00A0\u00A0\nschema:contributor<\/a> <http:\/\/experiment.worldcat.org\/entity\/work\/data\/1126712772#Organization\/ecole_superieure_des_sciences_economiques_et_commerciales_cergy_val_d_oise<\/a>> ; # \u00C9cole sup\u00E9rieure des sciences \u00E9conomiques et commerciales (Cergy, Val-d\'Oise).<\/span>\n\u00A0\u00A0\u00A0\nschema:contributor<\/a> <http:\/\/experiment.worldcat.org\/entity\/work\/data\/1126712772#Person\/poncet_patrice<\/a>> ; # Patrice Poncet<\/span>\n\u00A0\u00A0\u00A0\nschema:contributor<\/a> <http:\/\/experiment.worldcat.org\/entity\/work\/data\/1126712772#Organization\/conservatoire_national_des_arts_et_metiers_france<\/a>> ; # Conservatoire national des arts et m\u00E9tiers (France).<\/span>\n\u00A0\u00A0\u00A0\nschema:contributor<\/a> <http:\/\/experiment.worldcat.org\/entity\/work\/data\/1126712772#Organization\/ecole_doctorale_arts_et_metiers_paris<\/a>> ; # Ecole doctorale Arts et M\u00E9tiers (Paris).<\/span>\n\u00A0\u00A0\u00A0\nschema:datePublished<\/a> \"2011<\/span>\" ;\u00A0\u00A0\u00A0\nschema:description<\/a> \"It is common practice to judge third-party asset managers by looking at their financial performance relative to a benchmark portfolio. For this reason, they often choose to rely on internal risk-management models to control the downside risk of their portfolio relative to the benchmark. Moreover, an increasing number are adopting an incentive-based scheme, by charging an over-performance commission relative to the benchmark. Indeed, including this variable component in their global remuneration allows them to increase their revenue in case of over-performance without any penalty in the event of underperforming the benchmark. However, such practices have recently been at the heart of several polemics: the recent global financial crisis has uncovered some shortcomings in terms of internal risk control as well as excessive risk-taking and compensation levels of several financial players. Nevertheless, it appears that analyzing the impact of these practices remains a relatively new issue in continuous time-dynamic asset allocation theory. This thesis analyses in this theoretical framework the implications of these \"benchmarking\" practices on the asset manager\'s investment behavior. The first part examines the properties of the optimal dynamic strategy for the asset manager who is concerned by the difference of return between their portfolio and a fix or stochastic benchmark (over- or under-performance). Several asset manager types are considered, defined by different utility functions and different downside-risk constraints. In particular, the link between investment problems with aversion to under-performance and risk management constraints is shown. In the second part, the case of the asset manager who benefits from an incentive compensation scheme (variable asset management fees, over-performance bonuses or additional commission on asset under management), is investigated. We study how, depending on the choice of financial inventive structure and loss aversion level, the asset manager\'s strategy differs from that of the investor (or the strategy of the asset manager receiving no incentive remuneration). This study shows that the change in investment behavior of the asset manager can lead to both a reduction in the risk taken relative to the strategy without financial incentives or conversely an increase thereof. Finally we show that the existence of downside risk constraints, imposed on the asset manager or corresponding to their aversion for under-performance, can be beneficial to the investor mandating financial management.<\/span>\"@fr<\/a> ;\u00A0\u00A0\u00A0\nschema:description<\/a> \"Les g\u00E9rants de portefeuille pour compte de tiers sont souvent jug\u00E9s par leur performance relative \u00E0 celle d\'un portefeuille benchmark. A ce titre, ils sont amen\u00E9s tr\u00E8s fr\u00E9quemment \u00E0 utiliser des mod\u00E8les internes de \"risk management\" pour contr\u00F4ler le risque de sous-performer le benchmark. Par ailleurs, ils sont de plus en plus nombreux \u00E0 adopter une politique de r\u00E9mun\u00E9ration incitative, en percevant une commission de sur-performance par rapport au benchmark. En effet, cette composante variable de leur r\u00E9mun\u00E9ration leur permet d\'augmenter leur revenu en cas de sur-performance sans contrepartie en cas de sous-performance. Or de telles pratiques ont fait r\u00E9cemment l\'objet de nombreuses pol\u00E9miques : la p\u00E9riode r\u00E9cente de crise financi\u00E8re mondiale a fait appara\u00EEtre certaines carences de plusieurs acteurs financiers en terme de contr\u00F4le de risque ainsi que des niveaux de prise de risque et de r\u00E9mun\u00E9ration jug\u00E9s excessifs. Cependant, l\'\u00E9tude des implications de ces pratiques reste un th\u00E8me encore relativement peu explor\u00E9 dans le cadre de la th\u00E9orie classique des choix dynamiques de portefeuille en temps continu. Cette th\u00E8se analyse, dans ce cadre th\u00E9orique, les implications de ces pratiques de \"benchmarking\" sur le comportement d\'investissement de l\'asset manager. La premi\u00E8re partie \u00E9tudie les propri\u00E9t\u00E9s de la strat\u00E9gie dynamique optimale pour l\'asset manager concern\u00E9 par l\'\u00E9cart entre la rentabilit\u00E9 de son portefeuille et celle d\'un benchmark fixe ou stochastique (sur ou sous-performance). Nous consid\u00E9rons plusieurs types d\'asset managers, caract\u00E9ris\u00E9s par diff\u00E9rentes fonctions d\'utilit\u00E9 et qui sont soumis \u00E0 diff\u00E9rentes contraintes de risque de sous-performance. Nous montrons en particulier quel est le lien entre les probl\u00E8mes d\'investissement avec prise en compte de l\'aversion \u00E0 la sous-performance et avec contrainte explicite de \"risk management\". Dans la seconde partie, on s\'int\u00E9resse \u00E0 l\'asset manager b\u00E9n\u00E9ficiant d\'une r\u00E9mun\u00E9ration incitative (frais de gestion variables, bonus de sur-performance ou commission sur encours additionnelle). On \u00E9tudie, selon la forme de ses incitations financi\u00E8res et son degr\u00E9 d\'aversion \u00E0 la sous-performance, comment sa strat\u00E9gie d\'investissement s\'\u00E9carte de celle de l\'investisseur (ou celle de l\'asset manager sans r\u00E9mun\u00E9ration incitative). Nous montrons que le changement de comportement de l\'asset manager peut se traduire soit par une r\u00E9duction du risque pris par rapport \u00E0 la strat\u00E9gie sans incitation financi\u00E8re soit au contraire par une augmentation de celui-ci. Finalement, nous montrons en quoi la pr\u00E9sence de contraintes de risque de sous-performance, impos\u00E9es au g\u00E9rant ou traduisant son aversion \u00E0 la sous-performance, peut \u00EAtre b\u00E9n\u00E9fique \u00E0 l\'investisseur donnant mandat de gestion financi\u00E8re.<\/span>\"@fr<\/a> ;\u00A0\u00A0\u00A0\nschema:exampleOfWork<\/a> <http:\/\/worldcat.org\/entity\/work\/id\/1126712772<\/a>> ;\u00A0\u00A0\u00A0\nschema:genre<\/a> \"Th\u00E8ses et \u00E9crits acad\u00E9miques<\/span>\"@fr<\/a> ;\u00A0\u00A0\u00A0\nschema:inLanguage<\/a> \"fr<\/span>\" ;\u00A0\u00A0\u00A0\nschema:name<\/a> \"Allocation dynamique de portefeuille avec profil de gain asym\u00E9trique : risk management, incitations financi\u00E8res et benchmarking<\/span>\"@fr<\/a> ;\u00A0\u00A0\u00A0\nschema:productID<\/a> \"801103120<\/span>\" ;\u00A0\u00A0\u00A0\nschema:url<\/a> <https:\/\/tel.archives-ouvertes.fr\/tel-00629049<\/a>> ;\u00A0\u00A0\u00A0\nschema:url<\/a> <http:\/\/www.theses.fr\/2011CNAM0755\/document<\/a>> ;\u00A0\u00A0\u00A0\nschema:url<\/a> <http:\/\/www.theses.fr\/2011CNAM0755\/abes<\/a>> ;\u00A0\u00A0\u00A0\nwdrs:describedby<\/a> <http:\/\/www.worldcat.org\/title\/-\/oclc\/801103120<\/a>> ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n\n

Related Entities<\/h3>\n
<http:\/\/experiment.worldcat.org\/entity\/work\/data\/1126712772#Organization\/conservatoire_national_des_arts_et_metiers_france<\/a>> # Conservatoire national des arts et m\u00E9tiers (France).<\/span>\n\u00A0\u00A0\u00A0\u00A0a \nschema:Organization<\/a> ;\u00A0\u00A0\u00A0\nschema:name<\/a> \"Conservatoire national des arts et m\u00E9tiers (France).<\/span>\" ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
<http:\/\/experiment.worldcat.org\/entity\/work\/data\/1126712772#Organization\/ecole_doctorale_arts_et_metiers_paris<\/a>> # Ecole doctorale Arts et M\u00E9tiers (Paris).<\/span>\n\u00A0\u00A0\u00A0\u00A0a \nschema:Organization<\/a> ;\u00A0\u00A0\u00A0\nschema:name<\/a> \"Ecole doctorale Arts et M\u00E9tiers (Paris).<\/span>\" ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
<http:\/\/experiment.worldcat.org\/entity\/work\/data\/1126712772#Organization\/ecole_superieure_des_sciences_economiques_et_commerciales_cergy_val_d_oise<\/a>> # \u00C9cole sup\u00E9rieure des sciences \u00E9conomiques et commerciales (Cergy, Val-d\'Oise).<\/span>\n\u00A0\u00A0\u00A0\u00A0a \nschema:Organization<\/a> ;\u00A0\u00A0\u00A0\nschema:name<\/a> \"\u00C9cole sup\u00E9rieure des sciences \u00E9conomiques et commerciales (Cergy, Val-d\'Oise).<\/span>\" ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
<http:\/\/experiment.worldcat.org\/entity\/work\/data\/1126712772#Organization\/groupe_de_recherche_en_economie_et_gestion_paris<\/a>> # Groupe de recherche en \u00E9conomie et gestion (Paris).<\/span>\n\u00A0\u00A0\u00A0\u00A0a \nschema:Organization<\/a> ;\u00A0\u00A0\u00A0\nschema:name<\/a> \"Groupe de recherche en \u00E9conomie et gestion (Paris).<\/span>\" ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
<http:\/\/experiment.worldcat.org\/entity\/work\/data\/1126712772#Person\/collomb_alexis<\/a>> # Alexis Collomb<\/span>\n\u00A0\u00A0\u00A0\u00A0a \nschema:Person<\/a> ;\u00A0\u00A0\u00A0\nschema:familyName<\/a> \"Collomb<\/span>\" ;\u00A0\u00A0\u00A0\nschema:givenName<\/a> \"Alexis<\/span>\" ;\u00A0\u00A0\u00A0\nschema:name<\/a> \"Alexis Collomb<\/span>\" ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
<http:\/\/experiment.worldcat.org\/entity\/work\/data\/1126712772#Person\/maillard_didier<\/a>> # Didier Maillard<\/span>\n\u00A0\u00A0\u00A0\u00A0a \nschema:Person<\/a> ;\u00A0\u00A0\u00A0\nschema:familyName<\/a> \"Maillard<\/span>\" ;\u00A0\u00A0\u00A0\nschema:givenName<\/a> \"Didier<\/span>\" ;\u00A0\u00A0\u00A0\nschema:name<\/a> \"Didier Maillard<\/span>\" ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
<http:\/\/experiment.worldcat.org\/entity\/work\/data\/1126712772#Person\/poncet_patrice<\/a>> # Patrice Poncet<\/span>\n\u00A0\u00A0\u00A0\u00A0a \nschema:Person<\/a> ;\u00A0\u00A0\u00A0\nschema:familyName<\/a> \"Poncet<\/span>\" ;\u00A0\u00A0\u00A0\nschema:givenName<\/a> \"Patrice<\/span>\" ;\u00A0\u00A0\u00A0\nschema:name<\/a> \"Patrice Poncet<\/span>\" ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
<http:\/\/experiment.worldcat.org\/entity\/work\/data\/1126712772#Person\/portait_roland<\/a>> # Roland Portait<\/span>\n\u00A0\u00A0\u00A0\u00A0a \nschema:Person<\/a> ;\u00A0\u00A0\u00A0\nschema:familyName<\/a> \"Portait<\/span>\" ;\u00A0\u00A0\u00A0\nschema:givenName<\/a> \"Roland<\/span>\" ;\u00A0\u00A0\u00A0\nschema:name<\/a> \"Roland Portait<\/span>\" ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
<http:\/\/experiment.worldcat.org\/entity\/work\/data\/1126712772#Person\/prigent_jean_luc_1958<\/a>> # Jean-Luc Prigent<\/span>\n\u00A0\u00A0\u00A0\u00A0a \nschema:Person<\/a> ;\u00A0\u00A0\u00A0\nschema:birthDate<\/a> \"1958<\/span>\" ;\u00A0\u00A0\u00A0\nschema:deathDate<\/a> \"\" ;\u00A0\u00A0\u00A0\nschema:familyName<\/a> \"Prigent<\/span>\" ;\u00A0\u00A0\u00A0\nschema:givenName<\/a> \"Jean-Luc<\/span>\" ;\u00A0\u00A0\u00A0\nschema:name<\/a> \"Jean-Luc Prigent<\/span>\" ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
<http:\/\/experiment.worldcat.org\/entity\/work\/data\/1126712772#Person\/tergny_guillaume_1972<\/a>> # Guillaume Tergny<\/span>\n\u00A0\u00A0\u00A0\u00A0a \nschema:Person<\/a> ;\u00A0\u00A0\u00A0\nschema:birthDate<\/a> \"1972<\/span>\" ;\u00A0\u00A0\u00A0\nschema:deathDate<\/a> \"\" ;\u00A0\u00A0\u00A0\nschema:familyName<\/a> \"Tergny<\/span>\" ;\u00A0\u00A0\u00A0\nschema:givenName<\/a> \"Guillaume<\/span>\" ;\u00A0\u00A0\u00A0\nschema:name<\/a> \"Guillaume Tergny<\/span>\" ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
<http:\/\/experiment.worldcat.org\/entity\/work\/data\/1126712772#Thing\/aversion_a_la_perte<\/a>> # Aversion \u00E0 la perte<\/span>\n\u00A0\u00A0\u00A0\u00A0a \nschema:Thing<\/a> ;\u00A0\u00A0\u00A0\nschema:name<\/a> \"Aversion \u00E0 la perte<\/span>\" ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
<http:\/\/experiment.worldcat.org\/entity\/work\/data\/1126712772#Thing\/benchmarking<\/a>> # Benchmarking<\/span>\n\u00A0\u00A0\u00A0\u00A0a \nschema:Thing<\/a> ;\u00A0\u00A0\u00A0\nschema:name<\/a> \"Benchmarking<\/span>\" ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
<http:\/\/experiment.worldcat.org\/entity\/work\/data\/1126712772#Thing\/choix_dynamique_de_portefeuille<\/a>> # Choix dynamique de portefeuille<\/span>\n\u00A0\u00A0\u00A0\u00A0a \nschema:Thing<\/a> ;\u00A0\u00A0\u00A0\nschema:name<\/a> \"Choix dynamique de portefeuille<\/span>\" ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
<http:\/\/experiment.worldcat.org\/entity\/work\/data\/1126712772#Thing\/esperance_de_perte<\/a>> # Esp\u00E9rance de perte<\/span>\n\u00A0\u00A0\u00A0\u00A0a \nschema:Thing<\/a> ;\u00A0\u00A0\u00A0\nschema:name<\/a> \"Esp\u00E9rance de perte<\/span>\" ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
<http:\/\/experiment.worldcat.org\/entity\/work\/data\/1126712772#Thing\/incitation_financiere<\/a>> # Incitation financi\u00E8re<\/span>\n\u00A0\u00A0\u00A0\u00A0a \nschema:Thing<\/a> ;\u00A0\u00A0\u00A0\nschema:name<\/a> \"Incitation financi\u00E8re<\/span>\" ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
<http:\/\/experiment.worldcat.org\/entity\/work\/data\/1126712772#Thing\/modele_de_taux_d_interet_stochastique<\/a>> # Mod\u00E8le de taux d\'int\u00E9r\u00EAt stochastique<\/span>\n\u00A0\u00A0\u00A0\u00A0a \nschema:Thing<\/a> ;\u00A0\u00A0\u00A0\nschema:name<\/a> \"Mod\u00E8le de taux d\'int\u00E9r\u00EAt stochastique<\/span>\" ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
<http:\/\/experiment.worldcat.org\/entity\/work\/data\/1126712772#Thing\/probleme_moyenne_variance<\/a>> # Probl\u00E8me Moyenne-Variance<\/span>\n\u00A0\u00A0\u00A0\u00A0a \nschema:Thing<\/a> ;\u00A0\u00A0\u00A0\nschema:name<\/a> \"Probl\u00E8me Moyenne-Variance<\/span>\" ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
<http:\/\/experiment.worldcat.org\/entity\/work\/data\/1126712772#Thing\/value_at_risk<\/a>> # Value at Risk<\/span>\n\u00A0\u00A0\u00A0\u00A0a \nschema:Thing<\/a> ;\u00A0\u00A0\u00A0\nschema:name<\/a> \"Value at Risk<\/span>\" ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
<http:\/\/experiment.worldcat.org\/entity\/work\/data\/1126712772#Topic\/assurance_de_portefeuille<\/a>> # Assurance de portefeuille<\/span>\n\u00A0\u00A0\u00A0\u00A0a \nschema:Intangible<\/a> ;\u00A0\u00A0\u00A0\nschema:name<\/a> \"Assurance de portefeuille<\/span>\"@fr<\/a> ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
<http:\/\/experiment.worldcat.org\/entity\/work\/data\/1126712772#Topic\/gestion_de_portefeuille<\/a>> # Gestion de portefeuille<\/span>\n\u00A0\u00A0\u00A0\u00A0a \nschema:Intangible<\/a> ;\u00A0\u00A0\u00A0\nschema:name<\/a> \"Gestion de portefeuille<\/span>\"@fr<\/a> ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
<http:\/\/experiment.worldcat.org\/entity\/work\/data\/1126712772#Topic\/ingenierie_financiere<\/a>> # Ing\u00E9nierie financi\u00E8re<\/span>\n\u00A0\u00A0\u00A0\u00A0a \nschema:Intangible<\/a> ;\u00A0\u00A0\u00A0\nschema:name<\/a> \"Ing\u00E9nierie financi\u00E8re<\/span>\"@fr<\/a> ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
<http:\/\/experiment.worldcat.org\/entity\/work\/data\/1126712772#Topic\/referenciation<\/a>> # R\u00E9f\u00E9renciation<\/span>\n\u00A0\u00A0\u00A0\u00A0a \nschema:Intangible<\/a> ;\u00A0\u00A0\u00A0\nschema:name<\/a> \"R\u00E9f\u00E9renciation<\/span>\"@fr<\/a> ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
<http:\/\/id.loc.gov\/vocabulary\/countries\/fr<\/a>>\u00A0\u00A0\u00A0\u00A0a \nschema:Place<\/a> ;\u00A0\u00A0\u00A0\ndcterms:identifier<\/a> \"fr<\/span>\" ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
<http:\/\/www.theses.fr\/2011CNAM0755\/document<\/a>>\u00A0\u00A0\u00A0\nrdfs:comment<\/a> \"Acc\u00E8s au texte int\u00E9gral<\/span>\" ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
<http:\/\/www.worldcat.org\/title\/-\/oclc\/801103120<\/a>>\u00A0\u00A0\u00A0\u00A0a \ngenont:InformationResource<\/a>, genont:ContentTypeGenericResource<\/a> ;\u00A0\u00A0\u00A0\nschema:about<\/a> <http:\/\/www.worldcat.org\/oclc\/801103120<\/a>> ; # Allocation dynamique de portefeuille avec profil de gain asym\u00E9trique : risk management, incitations financi\u00E8res et benchmarking<\/span>\n\u00A0\u00A0\u00A0\nschema:dateModified<\/a> \"2021-02-16<\/span>\" ;\u00A0\u00A0\u00A0\nvoid:inDataset<\/a> <http:\/\/purl.oclc.org\/dataset\/WorldCat<\/a>> ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n\n

Content-negotiable representations<\/p>\n