2-E-5 Some Properties of Subjective Probabilities Induced by Optimal Expectations

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概要

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• In this paper, we examine the properties of subjective probabilities induced by optimal expectations. We show that investors who follow optimal expectations underweigh small probabilities and overweigh large probabilities in a simple binary economy. This indicates that the subjective probabilities determined by optimal expectations are inconsistent with experimental observed results under the rank dependent probability assumption.

• 2010-03-04

著者

• 岩城 秀樹

  京都大学経営管理大学院

• 尾崎 祐介

  大阪産業大学経済学部

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