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作者：Jurado, Kyle
作者单位：Duke University
摘要：This paper solves a dynamic rational inattention problem by formulating it in the frequency domain. The main result is a rational inattention version of the classical Wiener-Kolmogorov filter. This filter permits an infinite-dimensional state vector, provides a new line of attack for obtaining closed-form solutions, and can be implemented numerically using a simple iterative algorithm. The frequency-domain approach also sheds new light on why rational inattention produces forward-looking behav...
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作者：Kubler, Felix; Scheidegger, Simon
作者单位：University of Zurich; University of Geneva; University of Lausanne
摘要：We consider dynamic stochastic economies with heterogeneous agents and introduce the concept of uniformly self-justified equilibria (USJE)-temporary equilibria for which expectations satisfy the following rationality requirements: i) individuals' forecasting functions for the next period's endogenous variables are assumed to lie in a compact, finite-dimensional set of functions, and ii) the forecasts constitute the best uniform approximation to a selection of the equilibrium correspondence. We...
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作者：Chatterjee, Kalyan; Hu, Tai -Wei
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; University of Bristol
摘要：Bayesian analysis is considered the optimal way of processing information. However, it often leads to problems for decision-makers with constrained cognitive capacity. Modeling such constrained capacity by finite automata, we answer two questions in the context of Wald's (1947) sequential analysis, namely in what environments is optimal Bayesian analysis possible even with constraints; also, when it is not possible what simplifications in the analysis enable us to obtain a satisfactory outcome...
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作者：Babus, Ana; Hachem, Kinda
作者单位：Washington University (WUSTL); University of Virginia; National Bureau of Economic Research
摘要：We develop a theory of financial innovation in which both market structure and the payoffs of the claims being traded are determined endogenously. Intermediaries use the cash flows of an underlying asset to design securities for investors. Demand for securities arises as investors choose markets then trade using strategies represented by quantity-price schedules. We show that intermediaries create increasingly riskier asset-backed securities when facing deeper markets in which investors trade ...
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作者：Ekmekci, Mehmet; Kos, Nenad
作者单位：Boston College; Bocconi University
摘要：We study the interplay between information acquisition and signaling. A sender decides whether to learn his type at a cost prior to taking a signaling action. A receiver observes the signaling action and responds. We characterize equilibria and apply a version of never a weak best response refinement in the environment where the information acquisition is observable as well as in the environment where it is covert. Covert information acquisition always leads to information acquisition when inf...
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作者：Rommeswinkel, Hendrik; Chang, Hung -Chi; Hsu, Wen -Tai
作者单位：Waseda University; National Taiwan University; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; University System of Maryland; University of Maryland College Park
摘要：We examine the subjective value of gaining knowledge in a version of Savage's model for decisions under uncertainty in which the received outcome provides information about which event has obtained. Decision makers commonly value such knowledge either because they want to use it in future decisions or because they are personally interested in it. We find that in our model, the sure-thing principle and several other axioms of Savage are inconsistent with this value for knowledge about events. W...
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作者：Hartmann, Lorenz
作者单位：University of Basel
摘要：Preferences over acts have an alpha-Maxmin Expected Utility (alpha-MEU) representation if they can be repre-sented by the alpha-mixture of the worst and the best expected utility over a set of priors. The case alpha = 1 is the Maxmin Expected Utility (MEU) model characterized in Gilboa and Schmeidler (1989).This paper provides the first axiomatic characterization of the alpha-MEU model in the Anscombe-Aumann framework for all alpha is an element of [0, 1]\I21l. My first axiom is a weakening of...
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作者：Billand, Pascal; Bravard, Christophe; Joshi, Sumit; Mahmud, Ahmed Saber; Sarangi, Sudipta
作者单位：Centre National de la Recherche Scientifique (CNRS); Ecole Normale Superieure de Lyon (ENS de LYON); Universite Claude Bernard Lyon 1; Universite Jean Monnet; Universite Lyon 2; Communaute Universite Grenoble Alpes; Universite Grenoble Alpes (UGA); George Washington University; Virginia Polytechnic Institute & State University
摘要：We study the formation of multilayer networks where payoffs are determined by the degrees of players in each network. We begin by imposing either concavity or convexity in degree on the payoff function of the players. We then explore distinct network relationships that result from inter- and intra-network spillovers captured by the properties of supermodularity/submodularity and strategic complementarity respectively. We show the existence of equilibria and characterize them. Additionally, we ...
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作者：Tang, Rui; Zhang, Mu
作者单位：Hong Kong University of Science & Technology; University of Michigan System; University of Michigan
摘要：We study a decision maker's ex-ante choices over menus. The decision maker has in mind a set of pos-sible future preferences that can be justified, for instance, by her past behavior, and she naively evaluates each menu according to the best option in the menu among those that can be rationalized by her future preferences. We provide a characterization for this menu preference, discuss the uniqueness of its represen-tation, and propose a comparative measure of the decision maker's naivete. We ...
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作者：Koenig-Kersting, Christian; Kops, Christopher; Trautmann, Stefan T.
作者单位：University of Innsbruck; Maastricht University; Ruprecht Karls University Heidelberg; Tilburg University
摘要：We provide a test of the axioms of certainty and weak certainty independence in models of decision -making under subjective uncertainty. We show that it is through these two weakenings of the classic independence axiom that prominent ambiguity models retain properties that stand in conflict with the ambiguity-sensitive behavior that is revealed in our experiment. Our findings suggest that this conflict may be of a more fundamental nature than what most of these models can accommodate. Our resu...
