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Ambiguïté, comportements et marchés financiers

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Abstract

Nous proposons une revue de la littérature récente centrée sur les effets de l'ambiguïté (ou incertitude non probabilisée) sur les comportements des acteurs sur les marchés financiers et sur le fonctionnement de ces derniers. Nous exposons les mécanismes théoriques de choix de portefeuille et de formation de prix d'actifs essentiellement, qui diffèrent de ceux reposant sur des modélisations usuelles en termes d'espérance d'utilité. Nous proposons aussi une revue des résultats empiriques et expérimentaux qui viennent illustrer voire étayer les prédictions théoriques décrites

Suggested Citation

  • Meglena Jeleva & Jean-Marc Tallon, 2014. "Ambiguïté, comportements et marchés financiers," Documents de travail du Centre d'Economie de la Sorbonne 14064, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  • Handle: RePEc:mse:cesdoc:14064
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    More about this item

    Keywords

    Ambiguïté; attitude vis-à-vis de l'ambiguïté; choix de portefeuille; prix d'actifs;

    JEL classification:

    • G02 - Financial Economics - - General - - - Behavioral Finance: Underlying Principles
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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