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dc.contributor.authorJouini, Elyès
HAL ID: 6654
dc.contributor.authorNapp, Clotilde
HAL ID: 741006
ORCID: 0000-0002-7008-5949
dc.contributor.authorViossat, Yannick
dc.date.accessioned2011-03-18T11:50:56Z
dc.date.available2011-03-18T11:50:56Z
dc.date.issued2013
dc.identifier.issn1572-3097
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/5772
dc.language.isoenen
dc.subjectBeliefs formation
dc.subjectheterogeneous beliefs
dc.subjectevolutionary game theory
dc.subjectpessimism
dc.subjectrisk premium
dc.subject.ddc332en
dc.subject.classificationjelD81en
dc.subject.classificationjelD53en
dc.subject.classificationjelD03en
dc.subject.classificationjelG12en
dc.titleEvolutionary beliefs and financial markets
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWhy 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.
dc.relation.isversionofjnlnameReview of Finance
dc.relation.isversionofjnlvol17
dc.relation.isversionofjnlissue2
dc.relation.isversionofjnldate2013
dc.relation.isversionofjnlpages727-766
dc.relation.isversionofdoihttp://dx.doi.org/10.1093/rof/rfs004
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherKluwer Academic Publishers
dc.subject.ddclabelEconomie financièreen
dc.description.ssrncandidatenon
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
dc.date.updated2017-09-08T15:02:37Z


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