理性、有限理性、噪音与资产价格

Rationality,bounded rationality,noise and asset prices

通过构建一个世代交替条件下,同时存在BSV投资者、噪音交易者以及理性预期投资者的均衡模型,在理性预期均衡条件下扩展了BSV模型.通过对模型均衡价格的分析以及进一步的数值模拟发现:在套利限制与噪音交易同时存在的条件下,风险厌恶的理性预期投资者并不能完全纠正BSV投资者心理偏差对于风险资产价格的影响,导致均衡市场价格几乎时时偏离信息效率价格.如果投资者非理性的状态能够充分多样化,那么风险资产价格过度波动程度就可以被大大减弱.

A generation overlapping model is built,in which BSV investors,noise traders and Rational Expectation（RE） investors are present in the same market.This model extends the BSV model by adding RE investors and noise traders to the market,and has proven that it is limits of arbitrage and unpredictability of irrational investors＇ behavior that retain,to a great extent,the explanative power of BSV model.Further analysis on the solution of model equilibrium and on numerical results shows,that risk-averse RE investors cannot correct the＂wrong price＂,which arises from the cognitive biases of irrational investors,to the informationally efficient price.