第11讲封闭基金和其它价格之谜

第12讲股权溢价和处置效应

[此贴子已经被admin于2008-5-22 15:30:10编辑过]

第13讲盈利的预测能力

第14讲价格泡沫

第16讲 the market for news

第18讲persuasion in politics

模型化时间偏好

双曲线折现

401（K）计划

其它偏好分析

[此贴子已经被admin于2008-5-22 15:32:59编辑过]

以下贴出的是部分阅读文献

The problem of altruism

The Political Economy of Hatred

第一讲课后阅读

Nagel, Rosemarie. “Unraveling in Guessing Games: An Experimental Study.” American Economic Review, 85(5), December 1995, 1313-26.

DANIEL KAHNEMAN

1.Maps of Bounded Rationality: Psychology for Behavioral Economics

2.A Psychological Perspective on Economics

3."Prospect Theory: An Analysis of Decision Under Risk,"

(Econometrica 47:2 (March), 263-292.)

[此贴子已经被作者于2004-11-4 12:40:09编辑过]

The Neural Basis of Economic Decision-Making in the Ultimatum Game Alan G. Sanfey,1,3* James K. Rilling,1* Jessica A. Aronson,2 Leigh E. Nystrom,1,2 Jonathan D. Cohen1,2,4

Technology, Information Production, and Market Efficiency Gene D’Avolio, Efi Gildor, and Andrei Shleifer

价格不仅受到信息和预期的影响，而且也受到噪音交易者的影响，作者通过股价的非线性变化检验了这一思想

Manager-Investor Conflicts in Mutual Funds Paul G. Mahoney University of Virginia School of Law 580 Massie Road Charlottesville, VA 22903 Phone: 434-924-3996 e-mail: pmahoney@virginia.edu Second draft: February 9, 2004

Mutual funds present a paradox. They give unsophisticated investors the benefit of diversification and professional money management. But how can the unsophisticated know whether they are paying a reasonable price for those services? A premise of current mutual fund regulation is that the market should set fees, but those fees should be transparent. In the mutual fund scandals of 2003, mutual fund managers secretly obtained extra compensation by selling the right to trade at stale prices. The appropriate policy response turns on the answers to contested questions. Was the improper trading a result of insufficient regulatory and corporate governance controls on mutual fund managers? Alternatively, was it the result of overly intrusive regulatory

limits on fee structures that made it more difficult to align the interests of fund managers and investors and deter excessive trading? Did the extra returns earned by favored investors who traded at stale prices come mostly out of the profits of long-term investors, or did reductions in demand for the affected funds shift a substantial part of the loss back to the mutual fund managers? These are useful starting points for future research.

啊，为什么我下下来的是怪怪的东西，请问，下载这个要什么软件吗？

只要有高版本的rar压缩软件和pdf阅读软件acorabat就可以了

心里角度研究经济学，比较复杂，难成气候

难成气候的原因就是如此？

f非常好的东东，这样国内的经济学研究才能有可能与国际接轨。

太牛了

太好了

楼主辛苦了！！！

非常感谢！！！！

有没有搞错， 一份哈佛的东西顶成这样. 和国内大学的讲义差很多吗？笑死个人了~~

确实有很系统和前沿的咚咚

为什么国内总是跟着别人跑 就是这个道理

我们的确落后

[em04][em04]

看了一部分觉得很有别与从前学的,决定毕设就搞这方面的课题希望各位老师同学多指教

感谢楼主啊，好东西啊！

European Option Pricing with Behavioral parameters

Cao Huangjin, Jin Zhiming

National University of Defense Technology , Changsha ,China

Abstract

This paper presents a discrete-time and a continuous time model for valuing options with behavioral parameters. Be differ from prospect theory, investors in our model derive utility from relative changes in the value of his financial wealth of his mental account, and the investor has a particular weight for each mental account. For the problem of the market efficiency, we consider, we mustn’t talk about the logos of securities-price, but we can describe our behavior by the logos, and we should try our best to describe the securities-price. Some investors may overcome the market by proper methods, others can’t, because they have the warp of perceiving the market. We also accept rational prices only reflects riskless profitable arbitrage, not investor’s value-expres-sive, but we will introduce the investor’s value-expres-sive in our model, so that we can exactly describe the securities-price.

We propose a new framework for the fundamental economic principles of European option pricing with behavioral finance, introduce mental accounts( Kahneman and Tversky ,1979) and on the influence of prior outcomes on risky choice(Nicholas Barberis, Ming Huang, Tano Santos,1999). In the discrete-time model, we give a simple to illustrate our hypothesis that investors derive utility from relative changes. In the continuous time model, we present European option pricing in a single mental account and a sort of behavioral parameter version (EOP-AMA), two mental accounts and a sort of behavioral parameter version (EOP-TMA), and two mental accounts and two sorts of behavioral parameters version (EOP-TMT).

这是我最近的习作，只给出了摘要，文章已做完。不知哪位搞行为金融学的有兴趣可以交流一下，qq:507251

ccording to PDE (6-6) with regard to exists solution, we know that stochastic differential equation with respect with exists solution, we denote .

Subject to the terminal condition:

In fact, we denote ,

Then

Obviously, according to (6-6) we have

It satisfies the condition of Theorem 2.2, we will get a solution by the “separate” method. Then stochastic differential equation with respect with exists solution.

Let ， ,then ,where is invariable.

Let

Then is a square integrabel, local martingales, according to representation theorem for local martingales,

Where is measurable with respect to , , and .

Owing to and may mutually express, then , so is a function of , namely, adapted and measurable function of on is existed, so as to . Consider that is measurable with respect to ,

Let

很可惜，公式上不来，这只是其中的一部分

值得一读的东东