MEDAF et nouveaux modeles de decision dans le risque. (CAPM and New Decision Models under Risk. With English summary.)
Auteur: Bouyssou, Denis; Lefoll, Jean
Source:
Finance, June 1997, v. 18, iss. 1, pp. 11-24

Date de publication: June 1997 Résumé: The Capital Asset Pricing Model (CAPM) is one of the most valuable models of the theory of finance. Its initial development is based on the hypothesis that investors have "mean-variance" preferences. In this context, a separation theorem is demonstrated implying that all investors hold at equilibrium the same risky portfolio combined with the risk-free asset in different proportions according to their preferences. This separation is at the origin of the other CAPM properties. When investors are risk averse and obey the Expected Utility Theory, we know the conditions on returns of financial assets which induce this separation and thus the essential results of the CAPM. In this article we show that these conditions, dealing with future values of risky assets instead of their returns, have similar consequences when investors dislike risk whether or not they behave according to the Expected Utility Theory.

Harry Markowitz. (1952). Portfolio Selection, Journal of Finance

La Théorie moderne du portefeuille, Florin Aftalion, Patrice Poncet, Que sais je.

Michaud ,R Efficient asset management, Oxford University press 1994

----A Practical Framework for Portfolio Choice
Affiliation de l'auteur: New Frontier Advisors, Boston, MA Source: Journal of Investment Management, 2nd Quarter 2003, v. 1, iss. 2, pp. 14-29 Date de publication: 2nd Quarter 2003 Résumé: Traditional portfolio optimality criteria often have serious theoretical or practical limitations. A financial planning portfolio choice framework consisting of a resampled