1- Calculer la rentabilité et la volatilité annuelles pour chaque action

BRVM SERVAIR BOA BOA CÔTE BOA BOA CFAO

Composite ABIDJAN BERNABE BICICI BENIN D'IVOIRE BOA BF NIGER SENEGAL CI
RA -13.82% -71.58% -36.78% -1.59% 22.55% 2.92% 49.96% -1.17% 9.01% -46.93%
ECT 12.99% 52.76% 32.60% 26.02% 34.85% 36.96% 35.87% 41.32% 40.91% 37.90%

ECOB
ANK FILTIS NEI- NEST PALM TRACTAFRIC BOLLORE AFRICA
CIE CI (ETI) AC CEDA LE CI CI MOTORS CI SAFCA LOGISTICS CI SAPH
-
RA -18.10% 59.71% -42.60% -95.01% 18.93% 38.13% -107.00% -4.17% -33.72% 14.27%
ECT 40.31% 52.26% 52.21% 32.90% 42.87% 52.20% 37.25% 39.79% 40.41% 43.88%

VIVO AIR
ENERGY CROWN LIQUIDE
SETAO SGBCI CI SICABLE SICOR SIEM SITAB CI MOVIS SMB
RA -72.71% 8.09% 6.75% -44.03% -7.65% -45.92% -52.00% -122.96% -31.20% -54.21%
ECT 29.41% 38.57% 66.25% 33.65% 46.93% 44.95% 33.03% 42.94% 31.15% 45.06%

SODE SOG SOLIBR SONATE TOTAL TOTAL TRITURA UNIWA UNILEVE ONATE
CI B A L SN CI F X R L
38.94
RA -28.28% % -20.80% -0.22% -2.13% -0.42% 0.00% -0.06% -2.51% -1.04%
42.17
ECT 43.50% % 40.85% 21.45% 36.84% 48.57% 0.00% 45.08% 33.32% 41.79%
X

2- Effectuer un premier tri en sélectionnant uniquement les actions dont la rentabilité est
supérieure ou égale à 8% et dont la volatilité n’excède pas 45%

BOA BENIN BOA BF BOA SENEGAL NESTLE CI SAPH SGBCI SOGB

RA 22,55% 49,96% 9,01% 18,93% 14,27% 8,09% 38,94%
ECT 34,85% 35,87% 40,91% 42,87% 43,88% 38,57% 42,17%

3- Classez les titres selon le coefficient de variation.

BOA
  BOA BENIN BOA BF SENEGAL NESTLE CI SAPH SGBCI SOGB
CV 1,545565 0,71802573 4,54004918 2,2642873 3,07523871 4,76985693 1,08310917
Rang 3 1 6 4 5 7 2
 4- En prenant les deux meilleurs, déterminez les pondérations du portefeuille de risque
minimal.

BOA BF SOGB
VAR 0,000510658 0,00070571
COV 1,89537E-05  
Pond
PF 58,28% 41,72%

5- En considérant un pas de progression de 20%, Tracez la frontière efficiente.

Commentez.

Pond BOA
BF 0% 20% 40% 58,28% 60% 80% 100%
Pond SOGB 100% 80% 60% 41,72% 40% 20% 0%
ECT port 42,17% 34,71% 29,48% 27,75% 27,76% 30,17% 35,87%
Rent port 38,94% 41,14% 43,35% 45,36% 45,55% 47,76% 49,96%

Frontière éfficiente
60.00%

50.00% 49.96%
47.76%
45.55%
45.36%
43.35%
40.00% 41.14%
38.94%

30.00%

20.00%

10.00%

0.00%
26.00% 28.00% 30.00% 32.00% 34.00% 36.00% 38.00% 40.00% 42.00% 44.00%

6- Soit A, le meilleur portefeuille selon le coefficient de variation, précisez ses

caractéristiques.

Portefeuille
A
 RA 45.55%
ECT 27.76%

7- Déterminez les pondérations du portefeuille B qui permettent de minimiser le risque

et précisez ce risque.
 Avant optimisation

BOA BENIN BOA BF BOA SENEGAL NESTLE CI SAPH SGBCI SOGB

RA 22.55% 49.96% 9.01% 18.93% 14.27% 8.09% 38.94%
14.29
Pond 14.29% 14.29% 14.29% 14.29% 14.29% % 14.29%

Portefeuille B
Rent pf 23%
ECT pf 16.47%

 Apres optimisation

BOA
BOA BENIN BOA BF SENEGAL NESTLE CI SAPH SGBCI SOGB
RA 22.55% 49.96% 9.01% 18.93% 14.27% 8.09% 38.94%
Pond 17.55% 8.30% 17.13% 7.97% 16.27% 20.23% 12.56%

Portefeuille B
Rent pf 20.00%
ECT pf 16.53%

8- Calculez la rentabilité et le risque de C.

Portefeuille C
Portefeuille B ASR
Rent 20.00% 6%
ECT 16.53% 0%
Pond 70% 30%
Renta pf C 15.80%
ECT pf C 11.57%
 9- Déterminez les primes calls et put selon le modèle de COX-ROSS-RUBINSTEIN sur 5
sous périodes.

k 16750
S0 16750 U 1.1488345389
t 0.5 d 0.8704473674
v 43.88% p 0.4869860486
r 6% 1-p 0.5130139514
n 5
t/n 0.1

0 1 2 3 4 5
33519.86267
29177.27622
25397.2832
7 25397.28327
22106.9984 22106.99836
19242.9785
19242.97853 3 19242.97853
16750 16750 16750
14579.9934 14579.9934 14579.9934
12691.1169 12691.11688
11046.9492
7 11046.94927
9615.787914
8370.037275

16769.86267
12527.47532
8847.08208 8647.283271
5943.56164 5457.197465
3833.037926 3257.07451 2492.978527
Prime call 2391.7407 1874.5566 1206.783297
1051.624984 584.17107 0
282.781371 0
0.00000 0
0
0
Prime put 1896.703387
 10- Tracez les graphiques d’évolution des P&L, acheteur et vendeur du call, acheteur et vendeur du put et acheteur et vendeur
du straddle.

1000 1100 1200 1300 1400 1500 1600 1700 1800 1900 2000 2100 2200 2300 2400 2500 2600 2700 2800 2900
15000
S 8000 9000 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
P&L - - - - - - - - - - - -
Ach 10000 2391 2391 2391 2391 2141 1141 141. 858. 1858
2391 2391 2391 2391 2391 2858 3858 4858 5858 6858 7858 8858 9858
Call .741 .741 .741 .741 .741 .741 .741 .741 .741 .741 .741 7407 2593 .259 .259 .259 .259 .259 .259 .259 .259 .259
P&L 5000 - - - - - - - - - -
Ach 2391 2391 2391 2391 2391 2391 2391 2391 2391 2141 1141 141. 858. 1858 2858 3858 4858 5858 6858 7858 8858 9858
put .741 .741 .741 .741 .741 .741 .741 .741 .741 .741 .741 7407 2593 .259 .259 .259 .259 .259 .259 .259 .259 .259
0
0 5 10 15 20 25

-5000

-10000

-15000
1000 1100 1200 1300 1400 1500 1600 P&L
1700 1800 1900P&L2000
Ach Call
2100 2200 2300 2400 2500 2600 2700
Ach put
S 8000 9000 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 28000 29000
P&L - - - - - - - - - - - - - - -
Vte 6853 5853 4853 3853 2853 1853 853. 146. 1146 1896 1896 1896 1896 1896 1896 1896 1896 1896 1896 1896 1896. 1896.
Call .297 .297 .297 .297 .297 .297 2966 7034 .703 .703 .703 .703 .703 .703 .703 .703 .703 .703 .703 .703 70339 70339
P&L - - - - - - - 1896. 1896.
VTE 6853 5853 4853 3853 2853 1853 853. 146. 1146 1896Chart
1896Title
1896 1896 1896 1896 1896 1896 1896 1896 1896 70338 70338
Put .297 .297 .297 .297 .297 .297 2966 7034 .703 .703 .703 .703 .703 .703 .703 .703 .703 .703 .703 .703 7 7
8000

6000

4000

2000

0
0 5 10 15 20 25
-2000

-4000

-6000

-8000

P&L Vte Call P&L VTE Put

 1000 1100 1200 1300 1400 1500 1600 1700 1800 1900 2000 2100 2200 2300 2400 2500 2600 2700 2800 2900
S 8000 9000 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
P&L - - - - - - - - -
Ach 4461 3461 2461 1461 461. 538. 1538 2538 3538 4038 3038 2038 1038 38.4 961. 1961 2961 3961 4961 5961 6961 7961
Stra .556 .556 .556 .556 5559 444 .44 .44 .44 .44 .44 .44 .44 441 5559 .556 .556 .556 .556 .556 .556 .556
P&L - - - - - - - - - - - - -
Vte 4461 3461 2461 1461 461. 538. 1538 2538 3538 4038 3038 2038 1038 38.4 961. 1961 2961 3961 4961 5961 6961 7961
Stra .56 .56 .56 .56 556 4441 .444 .444 .444 .444 .444 .444 .444 4409 556 .56 .56 .56 .56 .56 .56 .56

Chart Title
10000
8000
6000
4000
2000
0
0 5 10 15 20 25
-2000
-4000
-6000
-8000
-10000

P&L Ach Stra P&L Vte Stra