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La gestion collective dans un marché agité: la dynamique des styles à partir des cartes de Kohonen

Catherine Aaron, Sébastien Galanti and Yamina Tadjeddine

Revue d'économie politique, 2004, vol. 114, issue 4, 507-526

Abstract: Asset management in turbulent marketsanalyzing investment styles dynamics The aim of this paper is to observe the group dynamic of fund managers during an interesting period: January 99- July 02 that includes many financial events as financial cracks, high speculation on new technologies,... We defined a strategy as the sensitivity to French stock market indexes. We projected strategies on a Kohonen Map. We propose a new approach to analyse the group dynamic by studying moving on this map.

Keywords: portfolio choice; mutual funds; investment styles; stock; selection; Kohonen maps (search for similar items in EconPapers)
Date: 2004
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