Verhaltensökonomik

A strategy profile is a Nash Equilibrium if no player has an alternative strategy that increases the payoff, given the other players' strategies.

A belief system in an extensive game is a function that assigns to each information set a probability distribution over the histories in that information set.

A behavioral strategy of player i in an extensive game is a function that assigns to each of i's information set I_i a probability distribution over the strategies S(I_i) with the property that each probability distribution is independent of every other distribution

An assessment (β,μ), where β represents a behavioral strategy profile and μ a belief system, is a weak sequential equilibrium if it satisfies the following two conditions:

1. Sequential rationality
2. Weak consistency of beliefs with strategies

Each players's strategy is optimal in the part of the game that follows each of her information sets, given the strategy profile and her belief about the history in the information sets that has occured.

For every information set I_i reached with positive probability given the strategy profile β, the probability assigned by the belief system to each history h* in I_i is given by Bayes' rule.

An extensive game with perfect information with a strategy profile in any weak sequential equilibrium is a subgame perfect equilibrium.

An "inflation bias" exists in the inflation rate in equilibrium is hiis higher than the optimal long-run inflation rate of zero.

When "time inconsistency" is at work, a policy that seems optimal from today's view is no longer considered optimal when the time comes to act.

Neuroeconomics is the interdisciplinary study by neuroscientists and economists of the complex brain interactions between controlled and autonomic (or automatic) processes, and between cognitive and affective brain systems and the implications for economic behavior and the overall economy.

Kontrollierter Prozess: Seriell, Mühevoll / Anstrengend, absichtlich hervorgerufen, Guter introspektiver Zugang

Automatischer Prozess: Parallel, Mühelos, Reflexartig; kein introspektiver Zugang

Affective processes, as defined by Zajonc (1980), address "go" or "no-go" questions.

Cognitive processes, in contrast, answer "true" or "false" questions.

A bubble emerges under rational or irrational market assumptions.
 

A bubble exists when a socio-economic variable deviates from fundamentals or long-run average (equilibrium). Speculative bubbles are based on wrong assessments of future returns and new (previously unseen) market constellations.

Dopamine responds to the difference between how rewarding an event is and how rewarding it was expected to be.

Aktienkurse entwickeln sich ohne "Gedächnis",

d.h. sie bewegen sich unabhängig von den vorher realisierten Kursen nach oben oder unten.

Eugene Farma, 1960er

Ein Markt ist effizient, wenn die Wertpapierkurse alle vorhandenen Informationen komplett wiederspiegeln.

Maurice Allais (1952) und Daniel Elsberg (1961)

Individuen verstoßen gegen die Axiome (nach Neumann und Morgenstern) zur Fundierung des Bernoulli-Prinzips rationaler Investoren.

Grundlage der experimentellen Kapitalmarktforschung

John Muth, 1960er

Marktteilnehmer nutzen alle verfügbaren Informationen zur Erwartungsbildung und lernen aus ihren Erwartungsfehlern. Erwartungen entstehen indem Informationen fortwährend aktualisiert und neu interpretiert werden.

Harry Markowitz. 1952

Klare Richtlinien für das Investieren; Kerngeanke: Effiziente Portfolios werden unter der Berücksichtung der Korrelation der Renditen einzelner Wertpapiere entwickelt.

Grundlage der theoretisch kapitalmarktorientierten Finanzierungslehre

Sharpe, Lintner, Mossin, 1960er

Testen der Effizienz des Kapitalmarktes auf risikoadjustierter Basis. Dadurch kann die Risikostreuung auf einen leicht verständlichen, linearen Zusammenhang zurückgeführt werden.

Stephen Ross, 1976