GAMBLING IN CONTESTS WITH REGRET
GAMBLING IN CONTESTS WITH REGRET
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带着遗憾参加比赛
DOI：
10.1111/mafi.12069
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发表时间：
2013
影响因子：
1.6
通讯作者：
D. Hobson
中科院分区：
文献类型：
--
作者：
Han Feng;D. Hobson
本文讨论了Seel和Strack（2013，Gambling in Contests，Journal of Economic Theory，148（5），2033-2048）中介绍的赌博竞赛，并考虑了添加与未能遵循获胜策略相关的惩罚的影响。Seel和Strack模型由n个智能体组成，每个智能体私下观察一个瞬态扩散过程，并选择何时停止该过程。停止值最高的参与者赢得比赛，每个参与者的目标是最大化赢得比赛的概率。我们给出了一个新的推导Seel和Strack的结果的基础上的拉格朗日方法。此外，我们认为，在后悔理论的意义上的行为金融环境中的问题的延伸。特别是，当一个代理人选择的策略没有赢得比赛时，她会受到惩罚，但存在一个替代策略会导致胜利。
This paper discusses the gambling contest introduced in Seel and Strack (2013, Gambling in Contests, Journal of Economic Theory, 148(5), 2033–2048) and considers the impact of adding a penalty associated with failure to follow a winning strategy. The Seel and Strack model consists of n‐agents each of whom privately observes a transient diffusion process and chooses when to stop it. The player with the highest stopped value wins the contest, and each player's objective is to maximize her probability of winning the contest. We give a new derivation of the results of Seel and Strack based on a Lagrangian approach. Moreover, we consider an extension of the problem to a behavioral finance context in the sense of regret theory. In particular, an agent is penalized when her chosen strategy does not win the contest, but there existed an alternative strategy that would have resulted in victory.