Functional rational expectations equilibria in market games

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Reihe Ökonomie / Economics Series ; No. 186

Classification and Topics

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

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Shorish, Jamsheed
• Event: Veröffentlichung
• (who): Institute for Advanced Studies (IHS)
• (where): Vienna
• (when): 2006

Further information

• Handle: http://hdl.handle.net/10419/72285
• Last update: 10.03.2025, 11:46 AM CET