Evolutionary Beliefs and Financial Markets - HAL Accéder directement au contenu
Article dans une revue Review of Finance Année : 2012

Evolutionary Beliefs and Financial Markets

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.
Fichier principal
Vignette du fichier
stratevolFinal-2.pdf ( 473.1 Ko ) Télécharger
Origine : Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

halshs-00778537, version 1 (23-01-2014)

Identifiants

  • HAL Id : halshs-00778537 , version 1

Citer

Elyès Jouini, Clotilde Napp, Yannick Viossat. Evolutionary Beliefs and Financial Markets. Review of Finance, 2012, pp.en ligne. ⟨halshs-00778537⟩
371 Consultations
182 Téléchargements
Dernière date de mise à jour le 20/04/2024
comment ces indicateurs sont-ils produits

Partager

Gmail Facebook Twitter LinkedIn Plus