教育部人文社科重点研究基地中央财经大学中国精算研究院学术活动

精算论坛讲座第259期

(2025年4月25日)

讲座主题：MARKET DYNAMICS, LEARNING, AND THE EQUITY PREMIUM PUZZLE IN AN AGENT-BASED MODEL OF INFORMATION ACQUISITION

摘要：We analyze a financial market with a large number of investors who use an imitation-based learning mechanism to choose among various strategies that differ in the amount and quality of information they incorporate. Agents’ strategies evolve through a straightforward learning mechanism in which traders occasionally imitate more successful strategies adopted by peers they encounter. In this context, equilibrium is defined as a state where investors, on average, win half the time and lose in the remaining periods. Through an agent-based model, we show that at equilibrium, most investors rely on a limited number of strategies. In most scenarios, two strategies dominate: prudent traders, who hold little equity and capture the largest market share, and informed traders, who achieve higher average profits. Our model can help to justify the existence of an equity premium puzzle: in equilibrium, the higher mean profit of informed investors is associated with a median profit that is equal to that of more prudent or misinformed investors.

报告人：Marco Tolotti

Marco Tolotti is Professor of Decision Science at the Venice School of Management, Ca’ Foscari University of Venice, where he serves as Vice dean since October 2020. He has got his PhD in Applied Mathematics at the Scuola Normale Superiore in Pisa in 2008. His main research interests are the applications of probability theory and optimization to model complex economic systems and financial markets. He published papers (among the others) on Annals of Applied Probability, J. of Optimization Theory & Applications, Economic Theory, J. of Economic Behavior & Organization, J. of Economic Dynamics and Control, Stochastic Processes & their Applications. He has been Visiting Scholar at UTS Business School Sydney; Monash University; Wollongong University.

讲座时间：2025年4月25日（周五）早上10:00-11:30

报告地点：沙河二教215

邀 请 人：郑敏