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ECUE Théorie de la décision et finance comportementale
Code de l'ECUE : IMETDUI
EUR ELMI
Sciences économiques
Campus Saint Jean d'Angély
Master 1
Semestre impair
Anglais
PRESENTATION
The objective of the lecture is to study choices under risk and uncertainty, and more specifically to present methods to elicit agents' preferences and beliefs from their choices. We take the standpoint of a financial adviser who must guide his/her clients' decisions, and who bases his/her judgment on the clients' preferences and beliefs from the clients' past choices.
The course will present different theories that are widely used to represent individual behaviours under risk and uncertainty: (i) expected value, (ii) expected utility, (iii) rank-dependent expected utility, and (iv) prospect theory. We will present the main theoretical foundations of each model, and then test their empirical plausibility by confronting them to actual choice data -- i.e. choices made by the students in the classroom and in the 'market game'.
The different models will be applied to various insurance and financial problems (during the class and with optional exercises).
A last objective of the lecture is to raise some methodological questions about the definition of a 'rational' choice in a situation of risk or uncertainty, and to emphasise that deviations from the theorerical models discussed throughout the lecture are not necessarily the symptom of some pathological, non-rational, cognitive 'biases' that hamper our rationality.
Responsable(s) du cours
Guilhem Lecouteux
Présentiel
- 20h de cours magistral
PREREQUIS
Avant le début du cours, je dois ...
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Be familiar with standard microeconomic tools
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Have basic notions in probability and statistics
OBJECTIFS
A la fin de ce cours, je devrais être capable de...
- Building utility function from choice data
- Eliciting preferences and beliefs from choice data
- Modelling attitudes towards risk and ambiguity
CONTENU
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Introduction
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Expected value
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Expected utility theory
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Rank-dependent utility model
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Prospect theory
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Market game
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Important
Ce syllabus n’a aucune valeur contractuelle. Son contenu est susceptible d’évoluer en cours d’année : soyez attentifs aux dernières modifications.