博弈论在金融上的使用--英文版

联系一下专业英语也行。短短的。呵呵呵

1 FINANCE APPLICATIONS

OF GAME THEORY

Franklin Allen and Stephen Morris*

financial markets and intermediaries to firms, which use them to fund theiractivities. Finance can be broadly pided into two fields. The first is assetpricing, which is concerned with the decisions of investors. The second iscorporate finance, which is concerned with the decisions of firms.Traditional neoclassical economics did not attach much importance to eitherkind of finance. It was more concerned with the production, pricing andallocation of inputs and outputs and the operation of the markets for these.Models assumed certainty and in this context financial decisions are relativelystraightforward. However, even with this simple methodology, importantconcepts such as the time value of money and discounting were developed.Finance developed as a field in its own right with the introduction ofuncertainty into asset pricing and the recognition that classical analysis failedto explain many aspects of corporate finance. In Section 1, we review the setof issues raised and some of the remaining problems with the pre-gametheoretic literature. In Section 2, we recount how a first generation of gametheory models tackled those problems, and discuss the successes and failures.Our purpose in this section is to point to some of the main themes in thevarious sub-fields. We do not attempt to provide an introduction to gametheory. See Gibbons (1992) for a general introduction to applied game theoryand Thakor (1991) for a survey of game theory in finance including anintroduction to game theory. Nor do we attempt to be encyclopedic.

联系一下专业英语也行。短短的。呵呵呵

Chatterjee and Samuelson: Applications of Game Theory

This first generation of game theoretic models revolutionized finance butmuch remains to be explained. Game theoretic methods continue to developand we believe that extensions involving richer informational models areespecially relevant for finance. In Section 3, we review recent workconcerning higher order beliefs and informational cascades and discuss itsrelevance for finance. We also review work that entails differences in beliefsnot explained by differences in information.

1. The Main Issues in Finance

Asset Pricing

The focus of Keynesian macroeconomics on uncertainty and the operation offinancial markets led to the development of frameworks for analyzing risk.Keynes (1936) and Hicks (1939) took account of risk by adding a riskpremium to the interest rate. However, there was no systematic theoryunderlying this risk premium. The key theoretical development whicheventually lead to such a theory was von Neumann and Morgenstern’s (1947)axiomatic approach to choice under uncertainty. Their notion of expectedutility, developed originally for use in game theory, underlies the vastmajority of theories of asset pricing.

. Markowitz (1952; 1959) utilized a specialcase of von Neumann and Morgenstern’s expected utility to develop a theoryof portfolio choice. He considered the case where investors are onlyconcerned with the mean and variance of the payoffs of the portfolios they arechoosing. This is a special case of expected utility provided the investor’sutility of consumption is quadratic and/or asset returns are multinormallydistributed. Markowitz’s main result was to show that persifying holdingsis optimal and the benefit that can be obtained depends on the covariances ofasset returns. Tobin’s (1958) work on liquidity preference helped to establishthe mean-variance framework as the standard approach to portfolio choiceproblems. Subsequent authors have made extensive contributions to portfoliotheory. See Constantinides and Malliaris (1995).

It was not until some time after Markowitz’s original contribution that hisframework of inpidual portfolio choice was used as the basis for anequilibrium theory, namely the capital asset pricing model (CAPM). Brennan

2

联系一下专业英语也行。短短的。呵呵呵

Finance Applications of Game Theory

(1989) has argued that the reason for the delay was the boldness of theassumption that all investors have the same beliefs about the means andvariances of all assets. Sharpe (1964) and Lintner (1965) showed that inequilibrium

Eri = rf + βi(ErM – rF),

where Eri is the expected return on asset i, rf is the return on the risk freeasset, ErM is the expected return on the market portfolio (i.e. a value weightedportfolio of all assets in the market) and βi = cov(ri, rM)/var(rM). Black(1972) demonstrated that the same relationship held even if no risk free assetexisted provided rF was replaced by the expected return on a portfolio or assetwith β = 0. The model formalizes the risk premium of Keynes and Hicks andshows that it depends on the covariance of returns with other assets.

Despite being based on the very strong assumptions of mean-variancepreferences and homogeneity of investor beliefs, the CAPM was an extremelyimportant development in finance. It not only provided key theoreticalinsights concerning the pricing of stocks but also lead to a great deal ofempirical work testing whether these predictions held in practice. Early testssuch as Fama and Macbeth (1973) provided some support for the model.Subsequent tests using more sophisticated econometric techniques have notbeen so encouraging. Ferson (1995) contains a review of these tests.

The CAPM is only one of many asset-pricing models that have beendeveloped. Other models include the Arbitrage Pricing Theory (APT) ofRoss (1977a) and the representative agent asset-pricing model of Lucas(1978). However, the CAPM was the most important not only because itwas useful in its own right for such things as deriving discount rates forcapital budgeting but also because it allowed investigators to easily adjust forrisk when considering a varie …… 此处隐藏：37847字，全部文档内容请下载后查看。喜欢就下载吧 ……