理性预期、博弈论与有效市场假说——理论基础的同一要义

Rational Expectation, Game Theory and Efficient Market Hypothesis: The Essences of Theoretic Synthesis

理性预期和博弈论分别从不同的层次分析人的理性和行动,在信息不对称条件下,理性预期均衡与博弈论中的精练Bayesian-Nash均衡相容。就市场整体信息的刻画和度量来看,理性预期与有效市场假说(EMH)也是相容的,而强式有效市场则不可能实现。

Both the rational expectation and the game theory focus on human's rationality, as well as their actions, from different viewpoint respectively. It makes senses that there should be a theoretical foundation to synthesize them on an equilibrium framework. Under the uncertainty and information asymmetry, REE is consistent to the perfect Bayesian-Nash equilibrium and R.E., game theory and EMH can express essences of theoretic synthesis.