Abstract
Les auteurs presentent le modele « homoscedastique gamma », ou modele HG, ou la distribution des rendements est caracterisee par sa moyenne, sa variance et un parametre d'asymetrie. Dans le modele HG, l'ecart entre les volatilites observee et neutre a l'egard du risque est fonction de la prime de risque et du degre d'asymetrie : la prime de risque appliquee aux actions est en fait le double du ratio de l'ecart de volatilite a la mesure de l'asymetrie.
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