L'importante sur la philosophie d'investissement

Résumé du document

Essai de 8 pages niveau Master 2 avec références portant sur l'importance de la philosophie d'investissement.

Extraits

[...] "The equity premium in retrospect." Handbook of the Economics of Finance 1 (2003): 889-938. Mehra, Rajnish, and Edward C. Prescott. "The equity premium: A puzzle." Journal of monetary Economics 15, no (1985): 145-161. Perold, A. F. (2004). The capital asset pricing model. Journal of economic perspectives, 3-24. Shiller, R. J. (1981). Alternative tests of rational expectations models: The case of the term structure. Journal of Econometrics, 71-87. [...]

[...] If there are several assets with similar levels of returns, investors would be indifferent. In fact, diversified portfolio investment strategy stems precisely from uncertainty linked to future returns. In addition to this uncertainty, there is also the question of return distribution: indeed, it is possible to argue that if an investor knows the return distribution, they can determine an investment strategy around the distribution moment – like the variance, the usual proxy for risk for instance. In fact, Markowitz argues that it is not a necessary condition for optimal investment: it can be argued that probability beliefs – or prior could serve just as well to formulate a portfolio investment strategy. [...]

[...] These examples show the plethora of investment possibilities opened to financial agents, with potentially high returns and rapid recovery after a systemic shock. There is however a catch, since these assets can be quite volatile, and there is no guarantee that past performance would repeat itself. One counterexample is Warren Buffett, founder of the Berkshire-Hathaway investment fund. Buffet for instance eschews fads of any sort when making an investment decision, and instead relies on fundamental analysis. This may explain for instance why Berkshire-Hathaway posted modest performances for 2020, with a 2.5% return, well behind the S&P500's 16.14% gross return. [...]

[...] More recently however, research as shown a growing interest in investor psychology, as well as the emergence of rational bubbles. What seems to be an inconclusive literature view of financial markets and investment leads us to pose the following question: "Does the investor profile affect its investment strategy?". We deal with the question as follows: the first section stresses the importance of market fundamentals using literature derived from the Fama (1970) efficient market hypothesis. Such a literature would advocate for a passive strategy, where the ideal strategy consists of replicating market indices. [...]

[...] Journal of economic perspectives, 3-24. had in mind when coming up with the one-factor CAPM setting . Broadly speaking, the CAPM setting assumes that risk does not affect asset prices equally, and those investors should strive to diversify their holdings with a market-based portfolio. They show that investment risk can be split into two components: idiosyncratic, which is due to individual asset variances, and systemic, which is a broader measure, linked to the market itself. The CAPM argues that the first can be diversified using portfolio theory5Markowitz, H. [...]