岭南学术论坛－经济学系列Seminar－The Tree Model: Learning, Stochastic Dominance and Subjective Option Evaluation

第584期岭南学术论坛（经济学系列Seminar）

报告题目：The Tree Model: Learning, Stochastic Dominance and Subjective Option Evaluation

报  告 人：Ehud Lehrer (Tel Aviv University，教授)

主  持 人：徐欣毅（中山大学岭南学院，助理教授）

时      间：2021年9月24日（周五）14:00-16:00

地      点：岭南堂汪道涵会议室+线上

Join Zoom Meeting
https://us02web.zoom.us/j/9393288987?pwd=M2dBV2orL2ZhRENxSGZxc05tam04QT09

Meeting ID: 939 328 8987
Passcode: 286453

摘要：

We consider several well-known stochastic dominance relations among prior beliefs, including first-order stochastic dominance, (reverse) hazard rate dominance, and likelihood ratio dominance, and investigate their implications in tree models with unknown state of nature (the probability of moving up). Each period, a random outcome, either up or down, is observed. The history of outcomes reveals information about the state of nature and determines the payoff. For each of the stochastic dominance relations mentioned above, we establish the equivalence between the following distinct conditions: (i) stochastic dominance relation among prior beliefs; (ii) stochastic dominance relation among posterior beliefs conditional on certain histories; (iii) stochastic dominance relation of probability distributions over certain histories. As an application, we study the implications of these stochastic dominance relations of priors on the subjective valuation of European and American options.

报告人简介：

Ehud Lehrer is the leading scientist of a group of researchers in Tel Aviv University who study Mathematical Economics, Game Theory, Decision Theory, Operation Research and Computer Science. He made a broad range of contributions to the areas above. Lehrer published more than 90 papers on imperfect monitoring; on the interface between information theory, probability, and economic theory; on learning models and in particular on learning to play Nash equilibrium; on heterogeneous time preferences and its role on efficiency; and on the role of partial information in decision making.

Lehrer served as an editor of Games and Economic Behavior for 7 years. He is a fellow of the Econometric and the Game Theory Societies, he was full professor in Kellogg School of Management and he is teaching in INSEAD in the last 16 years.

       欢迎感兴趣的师生参加！

       中山大学岭南学术论坛分经济、金融和管理三个系列，是定期邀请国内外优秀学者前来开展学术交流的平台。每系列每个月定期举办2-3次。目前已经成功举办多期，并得到了各界的高度评价。