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Prise en compte de l'attitude face au risque dans le cadre de la directive MiFID

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Author Info
André De Palma (ENS Cachan - Ecole Normale Supérieure de Cachan - Ecole Normale Supérieure de Cachan, Department of Economics, Ecole Polytechnique - CNRS : UMR7176 - Polytechnique - X)
Nathalie Picard (Department of Economics, Ecole Polytechnique - CNRS : UMR7176 - Polytechnique - X, THEMA - Théorie économique, modélisation et applications - CNRS : UMR8184 - Université de Cergy Pontoise)
Jean-Luc Prigent (THEMA - Théorie économique, modélisation et applications - CNRS : UMR8184 - Université de Cergy Pontoise)

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Abstract

La directive européenne MiFID du 1er novembre 2007, mise en application en France par l'AMF, a trouvé récemment (et en particulier depuis la crise financière) de nouveaux éléments de justification. Sa mise en place soulève néanmoins des questions méthodologiques (encore largement sous-estimées) relatives à l'analyse du comportement des investisseurs. Nous nous intéressons ici aux implications de cette directive et proposons un cadre d'analyse pour l'étude des préférences des investisseurs, et pour l'évaluation de leurs implications au niveau de la gestion de portefeuille. En particulier, nous analysons les conséquences d'une mauvaise adéquation portefeuille-client investisseur. Pour ce faire, nous étudions les implications des biais de perception et de prédiction des lois de probabilité des rendements financiers, à la fois dans le cadre de l'utilité espérée et dans celui de l'utilité non-espérée. Enfin, nous proposons une modélisation économétrique opérationnelle des choix des investisseurs basée sur la théorie des modèles de choix discrets.

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Paper provided by HAL in its series Working Papers with number hal-00418892_v1.

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Date of creation: 22 Sep 2009
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Handle: RePEc:hal:wpaper:hal-00418892_v1

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Related research
Keywords: Directive MiFID; tolérance au risque; utilité espérée et non-espérée; variation compensatoire.;

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Andre Palma & Moshe Ben-Akiva & David Brownstone & Charles Holt & Thierry Magnac & Daniel McFadden & Peter Moffatt & Nathalie Picard & Kenneth Train & Peter Wakker & Joan Walker, 2008. "Risk, uncertainty and discrete choice models," Marketing Letters, Springer, vol. 19(3), pages 269-285, December. [Downloadable!] (restricted)
    Other versions:
    • André de Palma & Moshe Ben-Akiva & David Brownstone & Charles Holt & Thierry Magnac & Daniel McFadden & Peter Moffatt & Nathalie Picard & Kenneth Train & Peter Wakker & Joan Walker, 2008. "Risk, Uncertainty and Discrete Choice Models," THEMA Working Papers 2008-02, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise. [Downloadable!]
  2. Tversky, Amos & Kahneman, Daniel, 1992. " Advances in Prospect Theory: Cumulative Representation of Uncertainty," Journal of Risk and Uncertainty, Springer, vol. 5(4), pages 297-323, October.
  3. Hanoch, G & Levy, Haim, 1969. "The Efficiency Analysis of Choices Involving Risk," Review of Economic Studies, Blackwell Publishing, vol. 36(107), pages 335-46, July. [Downloadable!] (restricted)
  4. Isabelle Bajeux-Besnainou & James V. Jordan & Roland Portait, 2003. "Dynamic Asset Allocation for Stocks, Bonds, and Cash," Journal of Business, University of Chicago Press, vol. 76(2), pages 263-288, April. [Downloadable!]
  5. Milton Friedman & L. J. Savage, 1948. "The Utility Analysis of Choices Involving Risk," Journal of Political Economy, University of Chicago Press, vol. 56, pages 279. [Downloadable!] (restricted)
  6. S?rensen, Carsten, 1999. "Dynamic Asset Allocation and Fixed Income Management," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(04), pages 513-531, December. [Downloadable!]
  7. Lioui, Abraham & Poncet, Patrice, 2001. "On optimal portfolio choice under stochastic interest rates," Journal of Economic Dynamics and Control, Elsevier, vol. 25(11), pages 1841-1865, November. [Downloadable!] (restricted)
  8. Quiggin, John, 1982. "A theory of anticipated utility," Journal of Economic Behavior & Organization, Elsevier, vol. 3(4), pages 323-343, December. [Downloadable!] (restricted)
  9. Bjarne Astrup Jensen & Carsten Sørensen, 2001. "Paying for Minimum Interest Rate Guarantees: Who Should Compensate Who?," European Financial Management, Blackwell Publishing Ltd, vol. 7(2), pages 183-211. [Downloadable!] (restricted)
  10. de Palma, André & Prigent, Jean-Luc, 2008. "Utilitarianism and fairness in portfolio positioning," Journal of Banking & Finance, Elsevier, vol. 32(8), pages 1648-1660, August. [Downloadable!] (restricted)
  11. Isabelle Bajeux-Besnainou & James V. Jordan & Roland Portait, 2001. "An Asset Allocation Puzzle: Comment," American Economic Review, American Economic Association, vol. 91(4), pages 1170-1179, September. [Downloadable!] (restricted)
  12. Rothschild, Michael & Stiglitz, Joseph E., 1971. "Increasing risk II: Its economic consequences," Journal of Economic Theory, Elsevier, vol. 3(1), pages 66-84, March. [Downloadable!] (restricted)
  13. Daniel McFadden, 2001. "Economic Choices," American Economic Review, American Economic Association, vol. 91(3), pages 351-378, June. [Downloadable!] (restricted)
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  14. Merton, Robert C., 1971. "Optimum consumption and portfolio rules in a continuous-time model," Journal of Economic Theory, Elsevier, vol. 3(4), pages 373-413, December. [Downloadable!] (restricted)
    Other versions:
  15. Jérôme B. Detemple & René Garcia & Marcel Rindisbacher, 2003. "A Monte Carlo Method for Optimal Portfolios," Journal of Finance, American Finance Association, vol. 58(1), pages 401-446, 02. [Downloadable!] (restricted)
    Other versions:
  16. Rothschild, Michael & Stiglitz, Joseph E., 1970. "Increasing risk: I. A definition," Journal of Economic Theory, Elsevier, vol. 2(3), pages 225-243, September. [Downloadable!] (restricted)
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