The asset management industry has always been fond of researches in quantitative finance. This area extensively uses probabilistic and mathematical modeling to analyze the valuation of financial assets and quantify/control risks.
Quantitative behavioral finance is a field of study proposing to model and incorporate features of human behavior in quantitative methods known so far. A view of risks based on a strong assumption of rationality of agents has shown its limits in recent financial crises. Therefore, it becomes difficult to ignore this phenomenon.
Koris International, as a financial investment adviser, wishes to participate in the development and application of quantitative behavioral finance through this PhD thesis. This project is part of an exploratory analysis, and upstream research activity, aiming at determining the future prospects for investment strategies integrating the risk inherent to the psychological aspect of financial markets.
The work undertaken will lead to a thesis in three years. This program will conduce to a cooperation with the French laboratory INRIA Sophia Antipolis - Méditerranée Research Center, specialized in applied mathematics, numerical analyses and computer science, in order to benefit from the expertise of researchers to bring to completion this doctoral project.
