Performances et tarification des SICAV

Abstract : The doctoral thesis is based on agency theory framework and on classical models of portfolio performances measures. It aims at analysing SICAV fees and its relations with SICAV performances. An empirical study has first been performed : it evaluates the link between several performance measures and fees (of a sample) of 123 French SICAVS of different types. A model has then been built with a view to defining a theorical link between performances and fees. It suggests that portfolio assets composition has to be taken into account when measuring performances. It also suggests that fees can be used to classify the different SICAVS by comparing their actual fee to a theorical fee which would be dependent upon the portfolio return and risk performances. This methodology has eventually been applied to the SICAV sample referred to above.
Document type :
Theses
File URL :
http://docnum.univ-lorraine.fr/prive/BUG_T_1995_0022_ROUOT.pdf
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https://hal.univ-lorraine.fr/tel-01776681
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Submitted on : Tuesday, April 24, 2018 - 4:04:55 PM
Last modification on : Wednesday, April 25, 2018 - 1:32:23 AM

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  • HAL Id : tel-01776681, version 1

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Serge Rouot. Performances et tarification des SICAV. Economies et finances. Université Nancy 2, 1995. Français. ⟨NNT : 1995NAN22022⟩. ⟨tel-01776681⟩

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