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Une évaluation économique du risque de modèle pour les investisseurs de long terme

Christophe Boucher, Benjamin Hamidi, Patrick Kouontchou and Bertrand Maillet

Revue économique, 2012, vol. 63, issue 3, 591-600

Abstract: The recent experience from the global financial crisis has raised serious questions about the accuracy of standard risk measures as a tool to quantify extreme downward risks. These standard risk measures, such as the var, emerge over the last decades as the industry standard for risk management and asset allocation (Basak and Shapiro [2001] ; Montfort [2008]). We estimate the riskiness of risk models and we evaluate its impact on optimal portfolios at various time horizons. Based on a long sample of u.s. data, we find an inverse U-shape relation between var model errors and the horizon that impacts the optimal asset allocation of the representative agent. Classification JEL : C14, C52, G11, G32.

JEL-codes: C14 C52 G11 G32 (search for similar items in EconPapers)
Date: 2012
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Working Paper: Une évaluation économique du risque de modèle pour les investisseurs de long terme (2012)
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Working Paper: Une évaluation économique du risque de modèle pour les investisseurs de long-terme (2012)
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