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Ce mémoire présente dans un premier temps le marché des voitures de collection. Il compare ensuite celles-ci à différents indices de marché afin d'analyser son profil de risque ainsi que ses rendements. Enfin, ce travail finit par l'élaboration des portefeuilles optimaux d'investissement dans un but de minimisation du risque ou de maximisation du ratio rendement-risque.

classic cars --- alternative investments --- collectibles --- diversification --- portfolio optimization --- Sciences économiques & de gestion > Finance

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An asset and liability management framework for managing risks arising from sovereign foreign exchange obligations requires a joint analysis of (i) the external financial liabilities resulting from a country's sovereign debt and (ii) the foreign exchange assets of its central bank. Governments often issue sizable amounts of debt denominated in foreign currencies, subjecting their fiscal positions to foreign exchange volatilities. Prudent management of a sovereign's foreign exchange position under an asset and liability management framework enables governments to mitigate risks at the lowest possible cost, hence increasing resilience to external shocks. Based on the challenges associated with the implementation of an asset and liability management framework, this study recommends a practical approach that includes analysis of the foreign exchange positions of central bank reserves and central government debt portfolios and optimization of the net position. The proposed model is tested, using the foreign exchange reserve and external debt data of seven countries (Albania, Ghana, FYR Macedonia, South Africa, the Republic of Korea, Tunisia, and Uruguay). The paper employs quantitative methods to explore the impact of an overarching asset and liability management strategy and integrated approach on the efficient management of foreign exchange risk. It provides policy recommendations on ways to minimize the risk of foreign exchange mismatches and increase the return on foreign exchange reserves.

Asset --- Debt Markets --- Exchange Rate Risk --- Finance and Financial Sector Development --- International Reserves --- Liability --- Macro Hedging --- Management --- Portfolio Optimization --- Public Debt --- Public Sector Development --- Sovereign Balance Sheet --- Strategic Asset Allocation

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This Special Issue covers the topic of timely vital risk management - systemic risk - from many important perspectives. It includes novel and scientific approaches from the network with topological indicators on systemic risk, community analysis of the global financial system, welfare analysis of capital insurance and the impact of capital requirement, risk measures, and optimal portfolio and optimal reinsurance under risk constraint. Most articles study the financial sector and insurance companies after the financial crisis of 2008–2009 circa ten years prior. The COVID-19 global pandemic in 2020 has caused similar or even greater challenges for the entire economy. Therefore, this Special Issue will be useful for anyone interested in systemic risk management.

optimal reinsurance --- general risk measure --- risk sharing --- systemic risk --- capital insurance --- welfare --- equilibrium --- conditional value-at-risk --- mean-CVaR portfolio optimization --- risk minimization --- Neyman–Pearson problem --- interconnectedness --- financial conglomerate --- contagion --- capital requirement for premium risk --- collective risk model --- reinsurance strategies --- Solvency II --- community structure --- complex networks --- financial markets --- insurance sector --- deltaCoVaR --- minimum spanning trees—topological indicators --- tail dependence

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This Special Issue covers the topic of timely vital risk management - systemic risk - from many important perspectives. It includes novel and scientific approaches from the network with topological indicators on systemic risk, community analysis of the global financial system, welfare analysis of capital insurance and the impact of capital requirement, risk measures, and optimal portfolio and optimal reinsurance under risk constraint. Most articles study the financial sector and insurance companies after the financial crisis of 2008–2009 circa ten years prior. The COVID-19 global pandemic in 2020 has caused similar or even greater challenges for the entire economy. Therefore, this Special Issue will be useful for anyone interested in systemic risk management.

Coins, banknotes, medals, seals (numismatics) --- optimal reinsurance --- general risk measure --- risk sharing --- systemic risk --- capital insurance --- welfare --- equilibrium --- conditional value-at-risk --- mean-CVaR portfolio optimization --- risk minimization --- Neyman–Pearson problem --- interconnectedness --- financial conglomerate --- contagion --- capital requirement for premium risk --- collective risk model --- reinsurance strategies --- Solvency II --- community structure --- complex networks --- financial markets --- insurance sector --- deltaCoVaR --- minimum spanning trees—topological indicators --- tail dependence

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The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.

stochastic dominance --- Omega ratio --- risk averters --- risk seekers --- utility maximization --- market efficiency --- anomaly --- emerging markets --- KSE Pakistan --- three-factor model --- size and value premiums --- future economic growth --- liquidity proxy --- emerging market --- transaction cost --- price impact --- efficient market --- economic policy uncertainty --- random walk --- news --- Asian market --- G7 market --- real exchange rate --- volatility --- financial development --- economic growth --- Put–Call Ratio --- volume --- open interest --- frequency-domain roiling causality --- convertible bond --- financial constraints --- stock performance --- Autoregressive Model --- non-Gaussian error --- realized volatility --- Threshold Autoregressive Model --- value premium --- technical analysis --- moving average --- China stock market --- stock market --- finance --- applications --- EMH --- anomalies --- Behavioral Finance --- Winner–Loser Effect --- Momentum Effect --- calendar anomalies --- BM effect --- the size effect --- Disposition Effect --- Equity Premium Puzzle --- herd effect --- ostrich effect --- bubbles --- trading rules --- overconfidence --- utility --- portfolio selection --- portfolio optimization --- risk measures --- performance measures --- indifference curves --- two-moment decision models --- dynamic models --- diversification --- behavioral models --- unit root --- cointegration --- causality --- nonlinearity --- covariance --- copulas --- robust estimation --- anchoring