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1 mars 2012
- handle: 10670/1.qm97nu
- halshs: halshs-00778537
info:eu-repo/semantics/OpenAccess
Mots-clés
heterogeneous beliefs Beliefs formation evolutionary game theory risk premium pessimism 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 Principles D - Microeconomics/D.D5 - General Equilibrium and Disequilibrium/D.D5.D53 - Financial Markets D - Microeconomics/D.D8 - Information, Knowledge, and Uncertainty/D.D8.D81 - Criteria for Decision-Making under Risk and Uncertainty -fin]/Risk Management [q-fin.RM]Sujets proches
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Elyès Jouini et al., « Evolutionary Beliefs and Financial Markets », HAL-SHS : économie et finance, ID : 10670/1.qm97nu
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Résumé
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.