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Le but de ce mémoire est de vérifier si l’allocation d’œuvres d’art (notamment grâce aux fonds d’art) dans un portefeuille traditionnel peut être bénéfique à l’investisseur. Les bénéfices peuvent découler de diverses sources : une augmentation du rendement, une diminution du risque, ou encore un meilleur ratio rendement/risque. Il est intéressant de savoir quelle proportion de son patrimoine un investisseur peut allouer à l’art sans que cette proportion ne soit trop importante afin de ne pas présenter un risque de liquidité. Pour ce faire, nous utiliserons le Sharpe ratio comme indicateur de performance et la théorie moderne du portefeuille mise au point par Markowitz (1952).

art --- diversification --- portfolio allocation --- crisis 2008 --- period 2000-2015 --- Sciences économiques & de gestion > Finance

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AA / International- internationaal --- 339.40 --- 305.91 --- Vermogenbeheer. financiële analyse (algemeenheden). --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles. --- Vermogenbeheer. financiële analyse (algemeenheden) --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles

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This is a thorough exploration of the models and methods of financial econometrics by one of the world's leading financial econometricians and is for students in economics, finance, statistics, mathematics, and engineering who are interested in financial applications. Based on courses taught around the world, the up-to-date content covers developments in econometrics and finance over the last twenty years while ensuring a solid grounding in the fundamental principles of the field. Care has been taken to link theory and application to provide real-world context for students, worked exercises and empirical examples have also been included to make sure complicated concepts are solidly explained and understood.

Quantitative methods (economics) --- Money market. Capital market --- 305.91 --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles

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Calvet and Fisher present a powerful, new technique for volatility forecasting that draws on insights from the use of multifractals in the natural sciences and mathematics and provides a unified treatment of the use of multifractal techniques in finance. A large existing literature (e.g., Engle, 1982; Rossi, 1995) models volatility as an average of past shocks, possibly with a noise component. This approach often has difficulty capturing sharp discontinuities and large changes in financial volatility. Their research has shown the advantages of modelling volatility as subject to abrupt regime c

Finance --- Economic forecasting --- Multifractals. --- Econometric models. --- Fractals --- Multifractals --- 305.91 --- AA / International- internationaal --- Econometric models --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles

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AA / International- internationaal --- 339.40 --- 305.91 --- Vermogenbeheer. financiële analyse (algemeenheden) --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles