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Optimisation de portefeuille sous contrainte de variance de la tracking-error [extrait BMI 54]
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Nous étudions différents programmes d'optimisation de portefeuille avec une contrainte sur la volatilité de la tracking-error (C1). Partant des résultats de Roll (1992), nous proposons une caractérisation des solutions en termes de ratio de mesure de performance. Nous proposons une approche alternative dans laquelle les individus maximisent un critère espérance-variance sous la contrainte C1. Nous montrons que l'ensemble des solutions de notre programme correspond à celui de Roll dès que les portefeuilles sont efficaces.Auteurs :Prigent Jean-Luc , Sobotka Raphaël
Extrait de la revue BMI 54
BMI54-1098219
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