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Erschienen in:
Overall Introduction Kapitel lesen Erstes Kapitel lesen

2017 | OriginalPaper | Buchkapitel

12. A Simple Characterization of Pessimism and Optimism: \(\varvec{\varepsilon }\)-Contamination Versus \(\varvec{\varepsilon }\)-Exuberance

verfasst von : Kiyohiko G. Nishimura, Hiroyuki Ozaki

Erschienen in: Economics of Pessimism and Optimism

Verlag: Springer Japan

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Abstract

On Wall Street, there are bulls and bears among professional investors. On Main Street, ordinary people are sometimes overly optimistic about their future and at other times excessively pessimistic. Bulls and bears on Wall Street often have starkly different views about the markets even though the available information is not so different among them. People on Main Street often switch from optimism to pessimism and vice versa quite easily even though there may not be noticeable change in their conditions.

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Vorheriges Kapitel Liquidity Preference and Knightian Uncertainty
Nächstes Kapitel Persistent Pessimism and Optimism in Forecasts: Implicit Means and Law of Iterated Integrals
Fußnoten
1
See Remarks by Chairman Alan Greenspan at the Annual Dinner and Francis Boyer Lecture of the American Enterprise Institute for Public Research, Washington, D.C., December 5, 1996.
 
2
See Sect.  3.​8.​1 for the definition of the compound lottery act.
 
3
Each of the following axioms corresponds to each of Axioms S1–S5 in Sect. 3.​9.​1. For explicit statements of these axioms, the readers are referred there. However, note that we state the axioms in terms of a weak order here, instead of a preference order as used earlier. This does not cause any essential difference in the following exposition. For this, see Sect. 3.​2.
 
4
Axiom AA2 in Sect. 3.​8.​2. Note that Schmeidler (1982, 1989) names it Axiom (iii).
 
5
This assumption is not essential in what follows and can be dispensed with easily.
 
6
By assuming this, we avoid a subtle argument that would be necessary when the infimum is not achieved. Our idea can be conveyed neatly under this simplifying assumption.
 
7
See the previous footnote.
 
Literatur
Anscombe, F.J., and R.J. Aumann. 1963. A definition of subjective probability. Annals of Mathematical Statistics 34: 199–205.CrossRef
Berger, J.O. 1985. Statistical decision theory and bayesian analysis, 2nd ed. Berlin: Springer.CrossRef
Bracha, A., and D. Brown. 2013. (Ir)rational exuberance: optimism, ambiguity, and risk, Cowles Foundation Discussion Paper No. 1898.
Chen, Z., and L. Epstein. 2002. Ambiguity, risk and asset returns in continuous time. Econometrica 70: 1403–1443.
Chu, C.Y.C., and W.-F. Liu. 2002. Knightian uncertainty and the voting paradox, mimeo, University of Washington.
Gilboa, I., and D. Schmeidler. 1989. Maxmin expected utility with non-unique prior. Journal of Mathematical Economics 18: 141–153.CrossRef
Maccheroni, F., M. Marinacci, and A. Rustihici. 2006. Ambiguity aversion, robustness, and the variational representation of preferences. Econometrica 74: 1447–1498.
Nishimura, K.G., and H. Ozaki. 2002. Economics of self-feeding fear, Discussion Paper 2002-CF-175, University of Tokyo.
Nishimura, K.G., and H. Ozaki. 2004. Search and Knightian uncertainty. Journal of Economic Theory 119: 299–333.CrossRef
Nishimura, K.G., and H. Ozaki. 2008. Learning may increase perceived uncertainty: A model of confidence erosion under Knightian uncertainty, mimeo, Keio University. (Revised version of Nishimura and Ozaki, 2002).
Schmeidler, D. 1982. Subjective probability without additivity (Temporary Title), Working Paper, The Foerder Institute for Economic Research, Tel Aviv University.
Schmeidler, D. 1989. Subjective probability and expected utility without additivity. Econometrica 57: 571–587. Its working paper is first published in 1982.CrossRef
Metadaten
Titel
A Simple Characterization of Pessimism and Optimism: -Contamination Versus -Exuberance
verfasst von
Kiyohiko G. Nishimura
Hiroyuki Ozaki
Copyright-Jahr
2017
Verlag
Springer Japan
Buch
Economics of Pessimism and Optimism

Print ISBN: 978-4-431-55901-6

Electronic ISBN: 978-4-431-55903-0

Copyright-Jahr: 2017

DOI
https://doi.org/10.1007/978-4-431-55903-0_12

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