「選美競賽」觀點下的資產定價心理賽局

Abstract

本文旨在以資產定價為例，探討心理因素在人們進行具有類似「選美競賽」特質的策略性互動過程中會如何影響決策行為。除第一章緒論之外，本文結構如下：第二章討論與本文主題有關的一些觀念與文獻，並從文獻中選取CML的案例做了一些模擬。第三章的內容是一個初步的模型與模擬結果，最後第四章則是結論與對未來繼續研究方向的建議。

This work builds an explore model of human’s mental processes for their strategic interaction to earn capital gains of an asset in the situation which is liked the Beauty contest as Keynes said in his famous book “General theory”. The structure of this thesis is as below: the first chapter is an introduction, the second chapter is for literatures’ review, and also includes a case study of CML and some simulations of it. The third chapter constructs the core of this paper. I propose a two players psychological game to demonstrate how people, who has prospective utilities; regret aversion attitudes; bounded rationality and affected by emotion may behave in a Beauty contest. The last chapter contains conclusions and possible extensive studies.