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Imitation : theory and experimental evidence

Alpesteguia, Jose; Huck, Steffen; Oechssler, Joerg - 2003

We introduce a generalized theoretical approach to study imitation models and subject themodels to rigorous experimental testing. In our theoretical analysis we find that the differentpredictions of previous imitation models are due to different informational assumptions, notto different...

Persistent link: https://www.econbiz.de/10011509505

Contests over public goods : evolutionary stability and the free-rider problem

Leininger, Wolfgang - 2002

We analyze group contests for public goods by applying the solution concept of an evolutionary stable strategy (ESS). We show that a global ESS cannot exist, because a mutant free-rider can always invade group behavior successfully. There does exist, however, a unique local ESS, which we...

Persistent link: https://www.econbiz.de/10011409788

Arbitrage and beliefs

Khorrami, Paymon; Zentefis, Alexander K. - 2020

exists, arbitrage opportunities must also exist. Conversely, at times when arbitrage profits exist, asset markets are … susceptible to self-fulfilling fluctuations. The tight theoretical connection between price volatility and arbitrage is detectable …

Persistent link: https://www.econbiz.de/10012260973

Optimality and diversifiability of mean variance and arbitrage pricing portfolios

Pesaran, M. Hashem; Zaffaroni, Paolo - 2009

This paper investigates the limit properties of mean-variance (mv) and arbitrage pricing (ap) trading strategies using … literature for the exact pricing case to two other cases of asymptotic no-arbitrage and the unconstrained pricing scenarios. The … ; mean-variance portfolio ; arbitrage pricing ; market (beta) neutrality ; well diversification …

Persistent link: https://www.econbiz.de/10003910456

Factor strengths, pricing errors, and estimation of risk premia

Pesaran, M. Hashem; Smith, Ron - 2021

This paper examines the implications of pricing errors and factors that are not strong for the Fama-MacBeth two-pass estimator of risk premia and its asymptotic distribution when T is fixed with n → ∞, and when both n and T → ∞, jointly. While the literature just distinguishes strong and...

Persistent link: https://www.econbiz.de/10012486668

Arbitrage pricing theory, the stochastic discount factor and estimation of risk premia from portfolios

Pesaran, M. Hashem; Smith, Ron - 2021

The arbitrage pricing theory (APT) attributes differences in expected returns to exposure to systematic risk factors …

Persistent link: https://www.econbiz.de/10012499632

The role of factor strength and pricing errors for estimation and inference in asset pricing models

Pesaran, M. Hashem; Smith, Ron - 2019

In this paper we are concerned with the role of factor strength and pricing errors in asset pricing models, and their implications for identification and estimation of risk premia. We establish an explicit relationship between the pricing errors and the presence of weak factors that are...

Persistent link: https://www.econbiz.de/10012118575

Evolutionarily stable preferences in contests

Leininger, Wolfgang (contributor) - 2008

We define an indirect evolutionary approach formally and apply it to (Tullock) contests. While it is known (Leininger, 2003) that the direct evolutionary approach in the form of finite population ESS (Schaffer, 1988) yields more aggressive behavior than in Nash equilibrium, it is now shown that...

Persistent link: https://www.econbiz.de/10003730276

Is hard Brexit detrimental to EU integration? : theory and evidence

Mikolajun, Irena; Viaene, Jean-Marie - 2018

integration benchmark that consists of the steady state production equilibrium characterized by arbitrage pricing and perfect …

Persistent link: https://www.econbiz.de/10011892540

Imitation and the evolution of Walrasian behavior : theoretically fragile but behaviorally robust

Apesteguia, Jose; Huck, Steffen; Oechssler, Joerg; … - 2008

Persistent link: https://www.econbiz.de/10003641693