Arbitrage, rationality, and equilibrium
Arbitrage, rationality, and equilibrium
复制标题
套利、理性与均衡
DOI：
10.1007/bf00132993
复制
发表时间：
1991
影响因子：
0.8
通讯作者：
K. McCardle
中科院分区：
文献类型：
--
作者：
R. Nau;K. McCardle
无套利是经济理性的基本原则，它统一了规范决策论、博弈论和市场论。在货币作为衡量和交换媒介的经济环境中，无套利与个人决策中的主观预期效用最大化、资本市场和交换经济中的竞争均衡以及非合作博弈中的相关均衡同义。套利原理直接表征了市场层面的理性；个别代理商刻意优化的出现是他们适应市场的结果。因此，博弈和市场中均衡行为的概念可以与以下观点相一致：个体理性是有限的，代理人使用进化形成的决策规则而不是数值优化算法，个人概率和效用是不可分割的，并且在某种程度上是不确定的。风险中性概率分布可解释为概率和边际效用的乘积，作为经济系统中的可观察量发挥着核心作用。
No-arbitrage is the fundamental principle of economic rationality which unifies normative decision theory, game theory, and market theory. In economic environments where money is available as a medium of measurement and exchange, no-arbitrage is synonymous with subjective expected utility maximization in personal decisions, competitive equilibria in capital markets and exchange economies, and correlated equilibria in noncooperative games. The arbitrage principle directly characterizes rationality at the market level; the appearance of deliberate optimization by individual agents is a consequence of their adaptation to the market. Concepts of equilibrium behavior in games and markets can thus be reconciled with the ideas that individual rationality is bounded, that agents use evolutionarily-shaped decision rules rather than numerical optimization algorithms, and that personal probabilities and utilities are inseparable and to some extent indeterminate. Risk-neutral probability distributions, interpretable as products of probabilities and marginal utilities, play a central role as observable quantities in economic systems.