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Théorie comportementale du portefeuille. Intérêt et limites

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  • Marie-Hélène Broihanne
  • Maxime Merli
  • Patrick Roger

Abstract

This paper deals with the recent developments of portfolio choice theory, which has been dominated by the classical mean/variance approach for half a century. In a first section we present some market anomalies put to light by many empirical studies. Academic researches on the limitations of the expected utility theory have given rise to new models, called “behavioral”, such as those by Arzac and Bawa [1977] and Shefrin and Statman [2000]. They are presented in section 2. By relying on two examples, we stress on the consequences of these approaches for optimal portfolio selection. Despite the seemingly ability of these models to explain empirical phenomena, we argue and expose reasons against their practical use by portfolio’s managers. Classification JEL : G11.

Suggested Citation

  • Marie-Hélène Broihanne & Maxime Merli & Patrick Roger, 2006. "Théorie comportementale du portefeuille. Intérêt et limites," Revue économique, Presses de Sciences-Po, vol. 57(2), pages 297-314.
  • Handle: RePEc:cai:recosp:reco_572_0297
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. Marie-Hélène Broihanne & Maxime Merli & Patrick Roger, 2008. "A Behavioural Approach To Financial Puzzles," Working Papers of LaRGE Research Center 2008-01, Laboratoire de Recherche en Gestion et Economie (LaRGE), Université de Strasbourg.
    2. Cécile Carpentier & Jean-Marc Suret, 2011. "Connaissance financière et rationalité des investisseurs : une étude canadienne," CIRANO Project Reports 2011rp-10, CIRANO.
    3. Salima TAKTAK & Mohamed Ali AZOUZI & Mohamed TRIKI, 2013. "Why Entrepreneur Overconfidence Affect Its Project Financial Capability: Evidence From Tunisia Using The Bayesian Network Method," Business Excellence and Management, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, vol. 3(2), pages 61-84, June.

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    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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