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Asset pricing under rational learning about rare disasters

Koulovatianos, Christos; Wieland, Volker - 2011 - 1st Version: May 20, 2011, This version: July 28, 2011

This paper proposes a new approach for modeling investor fear after rare disasters. The key element is to take into account that investors' information about fundamentals driving rare downward jumps in the dividend process is not perfect. Bayesian learning implies that beliefs about the...

Persistent link: https://www.econbiz.de/10010387528

A Perpetual Search for Talent Across Overlapping Generations : A Learning Process

Agbo, Maxime - 2014

We consider a class of multi-armed bandit problem which is at the same time an arm-acquiring, restless and mortal bandit, and where the rewards follow any distribution. This is the case for a committee whose mission is to select the best element of a set of talents who live for K periods, and...

Persistent link: https://www.econbiz.de/10013066678

Dynamic Learning in Markets : Pricing, Advertising, and Information Acquisition

Weber, Thomas A. - 2018

In the face of demand uncertainty, a monopolist can observe sales as a controlled reaction to its price and advertising so as to improve the choice of this marketing mix in the future. Furthermore, to upgrade its knowledge about demand the firm has the option to invest in external market...

Persistent link: https://www.econbiz.de/10012910797

Robust Experimentation in the Continuous Time Bandit Problem

Pourbabaee, Farzad - 2020

We study the experimentation dynamics of a decision maker (DM) in a two-armed bandit setup (Bolton and Harris [1999 … optimal experimentation strategy that turns out to follow a cut-off rule with respect to her belief process. The belief …

Persistent link: https://www.econbiz.de/10012852164

Increasing taxes after a financial crisis : not a bad idea after all...

Koulovatianos, Christos; Mavridis, Dimitris - 2018

Based on OECD evidence, equity/housing-price busts and credit crunches are followed by substantial increases in public consumption. These increases in unproductive public spending lead to increases in distortionary marginal taxes, a policy in sharp contrast with presumably optimal Keynesian...

Persistent link: https://www.econbiz.de/10011932442

Prolonged learning and hasty stopping : the Wald problem with ambiguity

Auster, Sarah; Che, Yeon-Koo; Mierendorff, Konrad - 2022

This paper studies sequential information acquisition by an ambiguity-averse decision maker (DM), who decides how long to collect information before taking an irreversible action. The agent optimizes against the worst-case belief and updates prior by prior. We show that the consideration of...

Persistent link: https://www.econbiz.de/10013365655

Hierarchical experimentation

Chen, Chia-hui; Ishida, Junichiro - 2015

We consider a bandit problem faced by a team of two heterogeneous players. The team is hierarchical in that one (the principal) retains the exclusive right to terminate the project while the other (the agent) focuses strictly on implementing the project assigned to him. As a key departure, we...

Persistent link: https://www.econbiz.de/10011343543

Some evolutionary foundations for price level rigidity

Saint-Paul, Gilles - 2002

This paper shows that price rigidity evolves in an economy populated by imperfectly rational agents who experiment with alternative rules of thumb. In the model, firms must set their prices in face of aggregate demand shocks. Their payoff depends on the level of aggregate demand, as well as on...

Persistent link: https://www.econbiz.de/10011409938

It's not my fault! : self-confidence and experimentation

Hestermann, Nina; Le Yaouanq, Yves - 2019 - Current draft: October 8, 2018

We study the inference and experimentation problem of an agent in a situation where the outcomes depend on the …

Persistent link: https://www.econbiz.de/10011966912

A war of attrition with experimenting players

Chen, Chia-hui; Ishida, Junichiro - 2017

A standard incomplete-information war of attrition is extended to incorporate experimentation and private learning. We …-run and long-run gains of experimentation. The extension yields qualitative impacts on the strategic nature of the problem …. The option value of experimentation serves as a credible commitment device to stay in the game, which is instrumental in …

Persistent link: https://www.econbiz.de/10011756011

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