Paris-Dauphine: Game Theory最新文献

筛选
英文 中文
Evolutionary Beliefs in Financial Market 金融市场的进化信念
Paris-Dauphine: Game Theory Pub Date : 2012-01-03 DOI: 10.2139/SSRN.2001035
E. Jouini, Clotilde Napp, Yannick Viossat
{"title":"Evolutionary Beliefs in Financial Market","authors":"E. Jouini, Clotilde Napp, Yannick Viossat","doi":"10.2139/SSRN.2001035","DOIUrl":"https://doi.org/10.2139/SSRN.2001035","url":null,"abstract":"Why do investors keep different opinions even though they learn from their own failures and successes? Why do investors keep different opinions even though they observe each other and learn from their relative failures and successes? We analyze beliefs dynamics when beliefs result from a very general learning process that favors beliefs leading to higher absolute or relative utility levels. We show that such a process converges to the Nash equilibrium in a game of strategic belief choices. The asymptotic beliefs are subjective and heterogeneous across the agents. Optimism (respectively overconfidence) as well as pessimism (respectively doubt) emerge from the learning process. Furthermore, we obtain a positive correlation between pessimism (respectively doubt) and risk tolerance. Under reasonable assumptions, beliefs exhibit a pessimistic bias and, as a consequence, the risk premium is higher than in a standard setting.","PeriodicalId":394534,"journal":{"name":"Paris-Dauphine: Game Theory","volume":"45 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-01-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128184573","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 17
Evolutionary Strategic Beliefs and Financial Markets 进化战略信念与金融市场
Paris-Dauphine: Game Theory Pub Date : 2011-06-28 DOI: 10.2139/ssrn.1946484
E. Jouini, Clotilde Napp, Yannick Viossat
{"title":"Evolutionary Strategic Beliefs and Financial Markets","authors":"E. Jouini, Clotilde Napp, Yannick Viossat","doi":"10.2139/ssrn.1946484","DOIUrl":"https://doi.org/10.2139/ssrn.1946484","url":null,"abstract":"We provide a discipline for belief formation through a model of subjective beliefs, in which agents hold strategic beliefs. More precisely, we consider beliefs as a strategic variable that agents can choose (consciously or not) in order to maximize their utility at the equilibrium. These strategic beliefs result from an evolutionary process. We find that evolutionary strategic behavior leads to belief subjectivity and heterogeneity. Optimism (resp. overconfidence) as well as pessimism (resp. doubt) both emerge from the evolution process. Furthermore, we obtain a positive correlation between pessimism (rep. doubt) and risk-tolerance. We analyse the equilibrium characteristics. Under reasonable assumptions, the consensus belief is pessimistic and, as a consequence, the risk premium is higher than in a standard setting.","PeriodicalId":394534,"journal":{"name":"Paris-Dauphine: Game Theory","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-06-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121674649","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们:info@booksci.cn Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号:604180095
Book学术官方微信