Théorie moderne du portefeuilleLa théorie moderne du portefeuille est une théorie financière développée en 1952 par Harry Markowitz. Elle expose comment des investisseurs rationnels utilisent la diversification afin d'optimiser leur portefeuille, et quel devrait être le prix d'un actif étant donné son risque par rapport au risque moyen du marché. Cette théorie fait appel aux concepts de frontière efficiente, coefficient bêta, droite de marché des capitaux et droite de marché des titres. Sa formalisation la plus accomplie est le modèle d'évaluation des actifs financiers ou MEDAF.
Portefeuille (finance)Un portefeuille (en finance) désigne une collection d'actifs financiers détenus par un établissement ou un individu. Cela peut aussi désigner des valeurs mobilières détenues à titre d'investissements, de dépôt, de provision ou de garantie. Une caractéristique importante d'un portefeuille est son degré de diversification qui permet d'atteindre un juste milieu entre le risque, la volatilité et la rentabilité du portefeuille, tout en tenant compte de la durée prévue du placement (horizon de temps).
Portfolio optimizationPortfolio optimization is the process of selecting the best portfolio (asset distribution), out of the set of all portfolios being considered, according to some objective. The objective typically maximizes factors such as expected return, and minimizes costs like financial risk. Factors being considered may range from tangible (such as assets, liabilities, earnings or other fundamentals) to intangible (such as selective divestment). Modern portfolio theory was introduced in a 1952 doctoral thesis by Harry Markowitz; see Markowitz model.
Efficient frontierIn modern portfolio theory, the efficient frontier (or portfolio frontier) is an investment portfolio which occupies the "efficient" parts of the risk–return spectrum. Formally, it is the set of portfolios which satisfy the condition that no other portfolio exists with a higher expected return but with the same standard deviation of return (i.e., the risk). The efficient frontier was first formulated by Harry Markowitz in 1952; see Markowitz model. A combination of assets, i.e.
Volatility smileVolatility smiles are implied volatility patterns that arise in pricing financial options. It is a parameter (implied volatility) that is needed to be modified for the Black–Scholes formula to fit market prices. In particular for a given expiration, options whose strike price differs substantially from the underlying asset's price command higher prices (and thus implied volatilities) than what is suggested by standard option pricing models. These options are said to be either deep in-the-money or out-of-the-money.
Prime de risqueLa prime de risque est un concept de finance qui désigne un supplément de rendement exigé par un investisseur afin de compenser un niveau de risque supérieur à la moyenne. Ce phénomène trouve son origine dans l'aversion au risque consubstantielle aux investisseurs : ceux-ci tendent à préférer un gain faible avec une probabilité de paiement élevée à un gain élevé mais assorti d'une probabilité plus faible. La demande des actifs risqués est ainsi moins forte que celle adressée aux actifs à risque faible.
Implied volatilityIn financial mathematics, the implied volatility (IV) of an option contract is that value of the volatility of the underlying instrument which, when input in an option pricing model (such as Black–Scholes), will return a theoretical value equal to the current market price of said option. A non-option financial instrument that has embedded optionality, such as an interest rate cap, can also have an implied volatility. Implied volatility, a forward-looking and subjective measure, differs from historical volatility because the latter is calculated from known past returns of a security.
Markowitz modelIn finance, the Markowitz model ─ put forward by Harry Markowitz in 1952 ─ is a portfolio optimization model; it assists in the selection of the most efficient portfolio by analyzing various possible portfolios of the given securities. Here, by choosing securities that do not 'move' exactly together, the HM model shows investors how to reduce their risk. The HM model is also called mean-variance model due to the fact that it is based on expected returns (mean) and the standard deviation (variance) of the various portfolios.
Security market lineSecurity market line (SML) is the representation of the capital asset pricing model. It displays the expected rate of return of an individual security as a function of systematic, non-diversifiable risk. The risk of an individual risky security reflects the volatility of the return from security rather than the return of the market portfolio. The risk in these individual risky securities reflects the systematic risk. The Y-intercept of the SML is equal to the risk-free interest rate.
Volatilité stochastiqueLa volatilité stochastique est utilisée dans le cadre de la finance quantitative, pour évaluer des produits dérivés, tels que des options. Le nom provient du fait que le modèle traite la volatilité du sous-jacent comme un processus aléatoire, fonction de variables d'états telles que le prix du sous-jacent, la tendance qu'a la volatilité, à moyen terme, à faire revenir le prix vers une valeur moyenne, la variance du processus de la volatilité, etc.
Risk–return spectrumThe risk–return spectrum (also called the risk–return tradeoff or risk–reward) is the relationship between the amount of return gained on an investment and the amount of risk undertaken in that investment. The more return sought, the more risk that must be undertaken. There are various classes of possible investments, each with their own positions on the overall risk-return spectrum. The general progression is: short-term debt; long-term debt; property; high-yield debt; equity.
Risque financierUn risque financier est un risque de perdre de l'argent à la suite d'une opération financière (sur un actif financier) ou à une opération économique ayant une incidence financière (par exemple une vente à crédit ou en devises étrangères). Le risque de marché est le risque de perte qui peut résulter des fluctuations des prix des instruments financiers qui composent un portefeuille. Le risque de contrepartie est le risque que la partie avec laquelle un contrat a été conclu ne tienne pas ses engagements (livraison, paiement, remboursement, etc.
Expected shortfallExpected shortfall (ES) is a risk measure—a concept used in the field of financial risk measurement to evaluate the market risk or credit risk of a portfolio. The "expected shortfall at q% level" is the expected return on the portfolio in the worst of cases. ES is an alternative to value at risk that is more sensitive to the shape of the tail of the loss distribution. Expected shortfall is also called conditional value at risk (CVaR), average value at risk (AVaR), expected tail loss (ETL), and superquantile.
Portefeuille de marchéLe portefeuille de marché est un portefeuille constitué d'une somme pondérée de tous les actifs dans le marché, chacun pondéré selon sa proportion dans le marché, avec l'hypothèse nécessaire que ces actifs sont divisible à l'infini. Richard Roll (1977) précise que ce n'est qu'un concept théorique, car pour créer un portefeuille de marché à des fins d'investissement il faudrait dans la pratique inclure tous les actifs possibles, y compris l'immobilier, les métaux précieux, les collections de timbres, les bijoux et tout ce qui a une valeur, car le marché théorique devrait être le marché mondial.
Investment managementInvestment management (sometimes referred to more generally as asset management) is the professional asset management of various securities, including shareholdings, bonds, and other assets, such as real estate, to meet specified investment goals for the benefit of investors. Investors may be institutions, such as insurance companies, pension funds, corporations, charities, educational establishments, or private investors, either directly via investment contracts/mandates or via collective investment schemes like mutual funds, exchange-traded funds, or REITs.
Diversification (finance)La diversification est, en finance, le processus par lequel un gestionnaire d'actifs alloue ses capitaux à des investissements de différents types. La diversification permet d'éviter d'être exposé aux risques d'une classe d'actifs. En investissant dans un grand nombre d'actifs, le gestionnaire d'actifs assure une moindre volatilité à son portefeuille. La diversification consiste en le choix, par un gestionnaire d'actifs, de multiplier le type d'actifs contenu dans son portefeuille d'actifs, ainsi que de multiplier les actifs eux-mêmes.
Equity riskEquity risk is "the financial risk involved in holding equity in a particular investment." Equity risk is a type of market risk that applies to investing in shares. The market price of stocks fluctuates all the time, depending on supply and demand. The risk of losing money due to a reduction in the market price of shares is known as equity risk. The measure of risk used in the equity markets is typically the standard deviation of a security's price over a number of periods.
Security characteristic lineSecurity characteristic line (SCL) is a regression line, plotting performance of a particular security or portfolio against that of the market portfolio at every point in time. The SCL is plotted on a graph where the Y-axis is the excess return on a security over the risk-free return and the X-axis is the excess return of the market in general. The slope of the SCL is the security's beta, and the intercept is its alpha. where: αi is called the asset's alpha (abnormal return) βi(RM,t – Rf) is a nondiversifi
Capital market lineCapital market line (CML) is the tangent line drawn from the point of the risk-free asset to the feasible region for risky assets. The tangency point M represents the market portfolio, so named since all rational investors (minimum variance criterion) should hold their risky assets in the same proportions as their weights in the market portfolio. The CML results from the combination of the market portfolio and the risk-free asset (the point L).
Risk-neutral measureIn mathematical finance, a risk-neutral measure (also called an equilibrium measure, or equivalent martingale measure) is a probability measure such that each share price is exactly equal to the discounted expectation of the share price under this measure. This is heavily used in the pricing of financial derivatives due to the fundamental theorem of asset pricing, which implies that in a complete market, a derivative's price is the discounted expected value of the future payoff under the unique risk-neutral measure.
