卖方理性下的异质主观信念与资产定价

Asset Pricing Based on Heterogeneous Subjective Beliefs under Seller's Rationality

资产的交易价格是买卖双方博弈的结果,博弈的基础是买卖双方对该金融资产价格的主观信念,主观信念是对该金融资产的认识和了解的知识、决策主体的性格和决策主体临时的情绪共同作用形成的。本文在承认金融资产的价格运动符合客观的布朗运动的同时,认为决策主体可以通过获得该金融资产价格的相关信息和知识,结合自己的性格偏好和当时的情绪形成其主观信念,在卖方理性和买方有限理性的条件下会形成异质主观信念,在此基础上买卖双方进行博弈,从而确定该金融资产的价格,同时认为金融资产的价格形成过程就是一个双方叫价拍卖的贝叶斯博弈过程。

The asset price is a result of the game between the sellers and buyers.The subjective belief which is made of the knowledge about the asset,character and sentiment of decision-maker is the basis of the game.The movement of finance asset is an objective Browian motion,and the rule of finance asset can be cognized and become knowledge.The human' s subjective belief is formed by the knowledge,character and sentiment of decision maker.Under the circumstance of a rational seller and a bounded rational buyer the heterogeneous belief will be formed.Then,the finance asset is priced when the rational seller and the bounded rational buyer play game.What' t more,the forming process of finance asset is a double auction Bayesian game process.