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La Théorie Comportementale du Portefeuille et l’Equilibre du Marché

Listed author(s):
  • Olga Bourachnikova


    (Laboratoire de Recherche en Gestion et Economie, EM Strasbourg, Université de Strasbourg)

Le portefeuille optimal issu du modèle de gestion de portefeuille de Shefrin et Statman (2000) diffère de celui proposé par les approches classiques de Markowitz (1952) et de la théorie de l’utilité espérée. Dans cette étude nous développons un modèle d’équilibre du marché sur lequel tous les investisseurs se comportent conformément au modèle de Shefrin et Statman. Nous montrons que les prix des actifs établis à l’équilibre vérifient les mêmes conditions que ceux obtenus dans le cadre de la théorie de l’utilité espérée. Ainsi, nous mettons un doute quant au positionnement particulier du modèle de Shefrin et Statman comme l’alternative à l’approche classique.

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Paper provided by Laboratoire de Recherche en Gestion et Economie (LaRGE), Université de Strasbourg in its series Working Papers of LaRGE Research Center with number 2009-10.

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Date of creation: 2009
Handle: RePEc:lar:wpaper:2009-10
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