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The optimal production and sales policy for a new product with negative word-of-mouth
Optimal consumption and investment under irrational beliefs
1. | School of Business and Management, Hong Kong University of Science and Technology, Hong Kong, China |
2. | School of Economics and Management, Tsinghua University, Beijing, China |
References:
[1] |
Armen A. Alchian, Uncertainty, evolution, and economic theory, Journal of Political Economy, 58 (1950), 211-221.
doi: 10.1086/256940. |
[2] |
Fisher Black, Noise, Journal of Finance, 41 (1986), 529-543.
doi: 10.2307/2328481. |
[3] |
Fisher Black and Myron Scholes, The valuation of options and corporate liabilities, Journal of Political Economy, 81 (1973), 637-654.
doi: 10.1086/260062. |
[4] |
Lawrence Blume and David Easley, If you are so smart, why aren't you rich? Belief selection in complete and incomplete markets, Econometrica, 74 (2006), 929-966.
doi: 10.1111/j.1468-0262.2006.00691.x. |
[5] |
J. Bradford De Long, Andrei Shleifer, Lawrence H. Summers and Robert J. Waldman, The survival of noise traders in financial markets, Journal of Business, 64 (1991), 1-19. |
[6] |
Yuri Fedyk and Johan Walden, High-speed natural selection in financial markets with large state spaces, Working paper, Hass School of Business, UC Berkeley, 2007. |
[7] |
Milton Friedman, "Essays in Positive Economics," University of Chicago Press, Chicago, 1953. |
[8] |
Lars P. Hansen and Scott Richard, The role of conditioning information in deducing testable restrictions implied by dynamic asset pricing models, Econometrica, 55 (1987), 587-613.
doi: 10.2307/1913601. |
[9] |
John M. Harrison and David M. Kreps, Martingales and arbitrage in multiperiod securities markets, Journal of Economic Theory, 20 (1979), 381-408.
doi: 10.1016/0022-0531(79)90043-7. |
[10] |
David Hirshleifer, Avanidhar Subrahmanyam and Sheridan Titman, Feedback and the success of irrational investors, Journal of Financial Economics, 81 (2006), 311-338.
doi: 10.1016/j.jfineco.2005.05.006. |
[11] |
Ioannis Karatzas and Steven E. Shreve, "Methods of Mathematical Finance," Springer-Verlag, New York, 1998. |
[12] |
Leonid Kogan, Stephen A. Ross, Jiang Wang and Mark M. Westerfield, The price impact and survival of irrational traders, Journal of Finance, 61 (2006), 195-229.
doi: 10.1111/j.1540-6261.2006.00834.x. |
[13] |
John Lintner, The valuation of risky assets and the selection of risky investments in stock portfolios and capital budgets, Review of Economics and Statistics, 47 (1965), 13-37.
doi: 10.2307/1924119. |
[14] |
Robert C. Merton, An intertemporal capital asset pricing model, Econometrica, 41 (1973), 867-887.
doi: 10.2307/1913811. |
[15] |
Stephen A. Ross, The arbitrage theory of capital asset pricing, Journal of Economic Theory, 13 (1976), 341-360.
doi: 10.1016/0022-0531(76)90046-6. |
[16] |
Alvaro Sandroni, Do markets favor agents able to make accurate predictions?, Econometrica, 68 (2000), 1303-1341.
doi: 10.1111/1468-0262.00163. |
[17] |
William Sharpe, Capital asset prices: a theory of market equilibrium under conditions of risk, Journal of Finance, 19 (1964), 425-442.
doi: 10.2307/2977928. |
show all references
References:
[1] |
Armen A. Alchian, Uncertainty, evolution, and economic theory, Journal of Political Economy, 58 (1950), 211-221.
doi: 10.1086/256940. |
[2] |
Fisher Black, Noise, Journal of Finance, 41 (1986), 529-543.
doi: 10.2307/2328481. |
[3] |
Fisher Black and Myron Scholes, The valuation of options and corporate liabilities, Journal of Political Economy, 81 (1973), 637-654.
doi: 10.1086/260062. |
[4] |
Lawrence Blume and David Easley, If you are so smart, why aren't you rich? Belief selection in complete and incomplete markets, Econometrica, 74 (2006), 929-966.
doi: 10.1111/j.1468-0262.2006.00691.x. |
[5] |
J. Bradford De Long, Andrei Shleifer, Lawrence H. Summers and Robert J. Waldman, The survival of noise traders in financial markets, Journal of Business, 64 (1991), 1-19. |
[6] |
Yuri Fedyk and Johan Walden, High-speed natural selection in financial markets with large state spaces, Working paper, Hass School of Business, UC Berkeley, 2007. |
[7] |
Milton Friedman, "Essays in Positive Economics," University of Chicago Press, Chicago, 1953. |
[8] |
Lars P. Hansen and Scott Richard, The role of conditioning information in deducing testable restrictions implied by dynamic asset pricing models, Econometrica, 55 (1987), 587-613.
doi: 10.2307/1913601. |
[9] |
John M. Harrison and David M. Kreps, Martingales and arbitrage in multiperiod securities markets, Journal of Economic Theory, 20 (1979), 381-408.
doi: 10.1016/0022-0531(79)90043-7. |
[10] |
David Hirshleifer, Avanidhar Subrahmanyam and Sheridan Titman, Feedback and the success of irrational investors, Journal of Financial Economics, 81 (2006), 311-338.
doi: 10.1016/j.jfineco.2005.05.006. |
[11] |
Ioannis Karatzas and Steven E. Shreve, "Methods of Mathematical Finance," Springer-Verlag, New York, 1998. |
[12] |
Leonid Kogan, Stephen A. Ross, Jiang Wang and Mark M. Westerfield, The price impact and survival of irrational traders, Journal of Finance, 61 (2006), 195-229.
doi: 10.1111/j.1540-6261.2006.00834.x. |
[13] |
John Lintner, The valuation of risky assets and the selection of risky investments in stock portfolios and capital budgets, Review of Economics and Statistics, 47 (1965), 13-37.
doi: 10.2307/1924119. |
[14] |
Robert C. Merton, An intertemporal capital asset pricing model, Econometrica, 41 (1973), 867-887.
doi: 10.2307/1913811. |
[15] |
Stephen A. Ross, The arbitrage theory of capital asset pricing, Journal of Economic Theory, 13 (1976), 341-360.
doi: 10.1016/0022-0531(76)90046-6. |
[16] |
Alvaro Sandroni, Do markets favor agents able to make accurate predictions?, Econometrica, 68 (2000), 1303-1341.
doi: 10.1111/1468-0262.00163. |
[17] |
William Sharpe, Capital asset prices: a theory of market equilibrium under conditions of risk, Journal of Finance, 19 (1964), 425-442.
doi: 10.2307/2977928. |
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