Volatilité des marchés financiers et allocation d’actifs

Abstract

Financial markets volatility and asset allocations This article discusses several causes of market volatility. We stress the numerous sources of uncertainty that markets have to deal with. In particular, the risk premia required by market participants to invest in different asset classes vary over time. As a result, even perfectly efficient financial markets would not stop asset prices volatility to be rather high. However, beside changes in economic fundamentals, financial markets probably add their own sources of volatility. We stress the excessive rigidity of investors' strategic asset allocations and we argue that long-term investors lose much of their stabilizing power as a result of this lack of flexibility. In this environment, shocks on economic fundamentals can have an exaggerated impact on asset prices. JEL classifications : F31, G11, G12, G14, G18