Information and ambiguity: herd and contrarian behaviour in financial markets

DOI10.1007/s11238-012-9334-3zbMath1273.91422OpenAlexW2165735948WikidataQ57924153 ScholiaQ57924153MaRDI QIDQ365800

Mohammad Hasan, M. Dambrine, H. S. Yoon

Publication date: 9 September 2013

Published in: Theory and Decision (Search for Journal in Brave)

Full work available at URL: https://eprints.kingston.ac.uk/id/eprint/6497/1/herd-081022%2Cdavid%2C_spellchecked%2Coct08.pdf

zbMATH Keywords

ambiguityChoquet expected utilityherdingoptimismcontrarian behaviourgeneralised Bayesian update

Mathematics Subject Classification ID

Decision theory (91B06) Utility theory (91B16) Portfolio theory (91G10)

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Cites Work

• CEU preferences and dynamic consistency
• Expected utility with purely subjective non-additive probabilities
• Information, trade and common knowledge
• Recursive multiple-priors.
• Updating Choquet beliefs
• Choice under uncertainty with the best and worst in mind: Neo-additive capacities
• Parameter-Free Elicitation of Utility and Probability Weighting Functions
• What Determines the Shape of the Probability Weighting Function Under Uncertainty?
• Subjective Probability and Expected Utility without Additivity
• A Simple Axiomatization of Nonadditive Expected Utility
• Testing and Characterizing Properties of Nonadditive Measures Through Violations of the Sure-Thing Principle

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