Théorie Comportementale Du Portefeuille [French]

By Olga Bourachnikova and Bourachnikova-O

Dans cette these, nous etudions l'equilibre du marche dans le cadre de la theorie comportementale du portefeuille (BPT). Ce modele de gestion de portefeuille est considere comme une veritable alternative a l'approche traditionnelle telle que le modele moyenne-variance de Markowitz ou a la theorie de l'utilite esperee. Par le biais d'une etude empirique, nous testons le BPT sur le marche reel. Nous montrons que le choix d'un investisseur se comportant comme le predit le BPT est identique a celui d'un agent se comportant conformement au modele de Markowitz en l'absence de deformation des probabilites. /// This thesis is devoted to the Behavioral Portfolio Theory (BPT). It is considered as a real alternative approach to the Markowitz's mean-variance portfolio theory. In this thesis, an equilibrium pricing model has been developed. It has been shown that the optimal portfolios and the equilibrium prices are identical to those obtained under the expected utility theory. Empirical evidence has been provided to show that the choice of the investors would have the same result whether they use the BPT or Markowitz approach, when probabilities are not distorted."

• Format: Paperback
• Language: French
• ISBN: 613153649X
• ISBN13: 9786131536496
• Release Date: October 2010
• Publisher: Omniscriptum
• Length: 300 Pages
• Weight: 0.97 lbs.
• Dimensions: 0.7" x 6.0" x 9.0"