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Concept
Évaluation financière
Résumé
In financial economics, asset pricing refers to a formal treatment and development of two main pricing principles, outlined below, together with the resultant models. There have been many models developed for different situations, but correspondingly, these stem from either general equilibrium asset pricing or rational asset pricing, the latter corresponding to risk neutral pricing.
Investment theory, which is near synonymous, encompasses the body of knowledge used to support the decision-making process of choosing investments, and the asset pricing models are then applied in determining the asset-specific required rate of return on the investment in question, or in pricing derivatives on these, for trading or hedging.
Under general equilibrium theory prices are determined through market pricing by supply and demand. Here asset prices jointly satisfy the requirement that the quantities of each asset supplied and the quantities demanded must be equal at that price - so called market clearing. These models are born out of modern portfolio theory, with the capital asset pricing model (CAPM) as the prototypical result. Prices here are determined with reference to macroeconomic variables–for the CAPM, the "overall market"; for the CCAPM, overall wealth– such that individual preferences are subsumed.
These models aim at modeling the statistically derived probability distribution of the market prices of "all" securities at a given future investment horizon; they are thus of "large dimension". See § Risk and portfolio management: the P world under Mathematical finance. General equilibrium pricing is then used when evaluating diverse portfolios, creating one asset price for many assets.
Calculating an investment or share value here, entails:
(i) a financial forecast for the business or project in question;
(ii) where the output cashflows are then discounted at the rate returned by the model selected; this rate in turn reflecting the "riskiness" - i.e.
Source officielle
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Les mathématiques financières (aussi nommées finance quantitative) sont une branche des mathématiques appliquées ayant pour but la modélisation, la quantification et la compréhension des phénomènes régissant les opérations financières d'une certaine durée (emprunts et placements / investissements) et notamment les marchés financiers. Elles font jouer le facteur temps et utilisent principalement des outils issus de l'actualisation, de la théorie des probabilités, du calcul stochastique, des statistiques et du calcul différentiel.
Modèle d'évaluation par arbitrage
Le modèle d'évaluation par arbitrage ou MEA (en anglais, arbitrage pricing theory ou APT) est un modèle financier d'évaluation des actifs d'un portefeuille qui s'appuie sur l'observation des anomalies du MEDAF et considère les variables propres aux firmes susceptibles d'améliorer davantage le pouvoir prédictif du modèle d'évaluation. Pour lutter contre l'instabilité des bétas du MEDAF, le modèle MEA introduit des facteurs macroéconomiques et spécifiques.
Rational pricing
Rational pricing is the assumption in financial economics that asset prices – and hence asset pricing models – will reflect the arbitrage-free price of the asset as any deviation from this price will be "arbitraged away". This assumption is useful in pricing fixed income securities, particularly bonds, and is fundamental to the pricing of derivative instruments. Arbitrage is the practice of taking advantage of a state of imbalance between two (or possibly more) markets. Where this mismatch can be exploited (i.
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