Investment Behaviour under Knightian Uncertainty - An Evolutionary Approach

Terje Lensberg

No 126, CESifo Working Paper Series from CESifo

Abstract: The paper analyzes investment behaviour under Knightian uncertainty by means of a genetic programming algorithm. This is an experimental approach which yields analytical results at a level of generality comparable to that obtained by conventional methods. When the artificial agents receive the same information about the unknown probability distributions, they develop behaviour rules as if they were expected utility maximizers with Bayesian learning rules and logarithmic utility functions. We then introduce asymmetric information, and study how it affects the agents' implicit preferences for risk and uncertainty.

Date: 1997
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.cesifo.org/DocDL/ces_wp126.pdf (application/pdf)

Related works:
Journal Article: Investment behavior under Knightian uncertainty - An evolutionary approach (1999)
Working Paper: Investment Behaviour Under Knightian Uncertainty - an Evolutionary Approach
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_126

Access Statistics for this paper

More papers in CESifo Working Paper Series from CESifo Contact information at EDIRC.
Bibliographic data for series maintained by Klaus Wohlrabe ().