Overconfidence by Bayesian-Rational Agents

• 成果类型: Article
• 署名作者: Van den Steen, Eric
• 署名单位: Harvard University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.1110.1323
• 发表日期: 2011
• 页码: 884-896
• 关键词: Overconfidence; Decision Analysis; RISK; Bayesian updating; differing priors; heterogeneous priors

摘要

This paper derives two mechanisms through which Bayesian-rational individuals with differing priors will tend to be relatively overconfident about their estimates and predictions, in the sense of overestimating the precision of these estimates. The intuition behind one mechanism is slightly ironic: In trying to update optimally, Bayesian agents overweight information of which they overestimate the precision and underweight in the opposite case. This causes overall an overestimation of the precision of the final estimate, which tends to increase as agents get more data.