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1 mars 2012
- handle: 10670/1.ffz2bj
- halshs: halshs-00556490
info:eu-repo/semantics/OpenAccess
Mots-clés
Beliefs formation strategic beliefs optimal beliefs distorded beliefs pessimism risk premium D - Microeconomics/D.D8 - Information, Knowledge, and Uncertainty/D.D8.D81 - Criteria for Decision-Making under Risk and Uncertainty D - Microeconomics/D.D5 - General Equilibrium and Disequilibrium/D.D5.D53 - Financial Markets G - Financial Economics/G.G1 - General Financial Markets/G.G1.G12 - Asset Pricing • Trading Volume • Bond Interest Rates D - Microeconomics/D.D0 - General/D.D0.D03 - Behavioral Microeconomics: Underlying PrinciplesSujets proches
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Elyès Jouini et al., « Evolutionary strategic beliefs and financial markets », HAL-SHS : économie et finance, ID : 10670/1.ffz2bj
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Résumé
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.