Unrealized arbitrage opportunities in naive equilibria with non-Bayesian belief processes

dc.contributor.authorZimper, Alexander
dc.contributor.emailalexander.zimper@up.ac.zaen_US
dc.date.accessioned2024-02-22T06:10:53Z
dc.date.available2024-02-22T06:10:53Z
dc.date.issued2023-09
dc.descriptionDATA AVAILABILITY : No data was used for the research described in the article.en_US
dc.description.abstractA non-Bayesian decision maker forms posterior beliefs through an – ever so slightly – violation of Bayes’ rule. A naive equilibrium is a competitive equilibrium for a multiperiod complete markets economy such that every economic agent – Bayesian or non-Bayesian – assumes that all economic agents are Bayesian decision makers. If all agents are indeed Bayesian decision makers, the naive equilibrium coincides with the standard concept of an arbitrage-free equilibrium for which dynamic price ratios are comprehensively pinned down as the equilibrium price ratios of Arrow–Debreu securities in a static economy. If at least one agent is a non-Bayesian decision maker, however, some equilibrium price ratios will change over time. These changing price ratios imply the existence of unrealized dynamic arbitrage opportunities in a naive equilibrium with non-Bayesian decision makers.en_US
dc.description.departmentEconomicsen_US
dc.description.librarianhj2024en_US
dc.description.sdgSDG-08:Decent work and economic growthen_US
dc.description.urihttp://www.elsevier.com/locate/mssen_US
dc.identifier.citationZimper, A. 2023, 'Unrealized arbitrage opportunities in naive equilibria with non-Bayesian belief processes', Mathematical Social Sciences, vol. 125, pp. 27-41, doi : 10.1016/j.mathsocsci.2023.07.001.en_US
dc.identifier.issn0165-4896 (print)
dc.identifier.issn1879-3118 (online)
dc.identifier.other10.1016/j.mathsocsci.2023.07.001
dc.identifier.urihttp://hdl.handle.net/2263/94811
dc.language.isoenen_US
dc.publisherElsevieren_US
dc.rights© 2023 The Author(s). Published by Elsevier B.V. This is an open access article under the CC BY-NC-ND license.en_US
dc.subjectNon-Bayesian updatingen_US
dc.subjectDynamic inconsistencyen_US
dc.subjectBounded rationalityen_US
dc.subjectRepresentative agenten_US
dc.subjectDynamic arbitrage opportunitiesen_US
dc.subjectSDG-08: Decent work and economic growthen_US
dc.titleUnrealized arbitrage opportunities in naive equilibria with non-Bayesian belief processesen_US
dc.typeArticleen_US

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