We provide a discipline for belief formation through an evolutionary process which favors beliefs leading to higher utility levels at the Walrasian equilibrium. We show that such an evolutionary process converges to the Nash equilibrium in a game of strategic beliefs choices. The asymptotic...

We analyze a model with two types of agents: standard agents and gurus, i.e. agents who have the ability to influence the other investors. Gurus announce their beliefs and act accordingly. Gurus are strategic: they take into account the impact of their announced beliefs on the other agents,...

This paper studies foundational issues in securities markets models with fixed costs of trading, i.e. transaction costs that are bounded regardless of the transaction size, such as fixed brokerage fees, investment taxes, operational and processing costs, or opportunity costs. We show that the...

We consider a model in which all investment opportunities are described in terms of cash flows. We don't assume that there is a numeacute;raire, the time horizon is not supposed to be finite, the investment opportunities are not specifically related to the buying and selling of securities on a...

This paper studies foundational issues in securities markets models with fixed costs of trading, i.e. transaction costs that are bounded regardless of the transaction size, such as : fixed brokerage fees, investment taxes, operational and processing costs, or opportunity costs. We show that the...

The problem of fair pricing of contingent claims is well understood in the context of an arbitrage free, complete financial market, with perfect information. But in the more realistic context of an incomplete market or with imperfect information, the arbitrage approach does not enable us to...

It is an important issue for economic and finance applications to determine whether individuals exhibit a behavioral bias towards pessimism in their beliefs, in a lottery or more generally in an investment opportunities framework. In this paper, we analyze the answers of a sample of 1,540...

In securities markets, the characterization of the absence of arbitrage by the existence of state price deflators is generally obtained through the use of the Kreps-Yan theorem.This paper deals with the validity of this theorem (see Kreps, 1981, and Yan, 1980) in a general framework. More...

In this paper, we study securities market models with fixed costs. We characterize the absence of arbitrage opportunities and we provide fair pricing rules. We then apply these results to extend some popular interest rate and option pricing models, which present arbitrage opportunities in the...

This paper is a generalization of Calvet et al. (2002) to a dynamic setting. We propose a method to aggregate heterogeneous individual probability beliefs, in dynamic and complete asset markets, into a single consensus probability belief. This consensus probability belief, if commonly shared by...