Th?rie Comportementale Du Portefeuille

Dans cette th?se, nous ?tudions l'?quilibre du march? dans le cadre de la th?orie comportementale du portefeuille (BPT). Ce mod?le de gestion de portefeuille est consid?r? comme une v?ritable alternative ? l'approche traditionnelle telle que le mod?le moyenne-variance de Markowitz ou ? la th?orie de l'utilit? esp?r?e. Par le biais d'une ?tude empirique, nous testons le BPT sur le march? r?el. Nous montrons que le choix d'un investisseur se comportant comme le pr?dit le BPT est identique ? celui d'un agent se comportant conform?ment au mod?le de Markowitz en l'absence de d?formation des probabilit?s. /// 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.

Author: Bourachnikova-O

Publisher: Omniscriptum

Publication Date: Feb 28, 2018

Number of Pages: 300 pages

Binding: Paperback or Softback

ISBN-10: 613153649X

ISBN-13: 9786131536496