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Published online by Cambridge University Press: 17 August 2016
Dans cet article nous développons l'approche de l'information de Theil [1975] au problème de la sélection de portefeuille. L'équation matricielle fondamentale de la théorie de la sélection de portefeuille est résolue et les propriétés des demandes d'actifs sont étudiées. L'accent est mis en particulier sur l'étude des effets de substitution spécifiques et généraux et des effets richesse. Nous proposons un modèle de sélection de portefeuille analogue au modèle de consommation dit «modèle de Rotterdam». Enfin nous étudions les implications de nos résultats pour le modèle de Parkin [1970].
In this paper Theil's [1975] information approach is applied to the problem of portfolio selection. The fundamental matrix equation of portfolio theory is solved and the properties of asset demands are studied. In particular emphasis is put on the study of the specific and substitution effects as well as the wealth effects. A model of portfolio selection similar to the ”Rotterdam model” of consumption is put forward. Finally we study the implications of our results for Parkin's [1970] model.
Je remercie J. Blot, M. Mougeot, P. Rousseau et deux rapporteurs anonymes pour leurs commentaires ainsi que B. Friedman, M. Parkin et H. Theil.
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