Arbeitspapier

Functional rational expectations equilibria in market games

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The rational expectations equilibrium has been criticized as an equilibrium concept in market game environments. Such an equilibrium may not exist generically, or it may introduce unrealistic assumptions about an economic agent's knowledge or computational ability. We define a rational expectations equilibrium as a probability measure over uncertain states of nature which exploits all available information in a market game, and which exists for almost all economies. Furthermore, if retrading is allowed, it is possible for agents to compute such a 'functional rational expectations equilibrium' using straightforward numerical fixed point algorithms.

Sprache
Englisch

Erschienen in
Series: Reihe Ökonomie / Economics Series ; No. 186

Klassifikation
Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
Computational Techniques; Simulation Modeling
Thema
market game
rational expectations equilibrium
Bayesian updating
learning
computation
Rationale Erwartung
Bayes-Statistik
Capital Asset Pricing Model
Spieltheorie

Ereignis
Geistige Schöpfung
(wer)
Shorish, Jamsheed
Ereignis
Veröffentlichung
(wer)
Institute for Advanced Studies (IHS)
(wo)
Vienna
(wann)
2006

Handle
Letzte Aktualisierung
10.03.2025, 11:46 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
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Objekttyp

  • Arbeitspapier

Beteiligte

  • Shorish, Jamsheed
  • Institute for Advanced Studies (IHS)

Entstanden

  • 2006

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