Speculation Duopoly with Agreement to Disagree: Can Overconfidence Survive the Market Test?
在知情投机双寡头模型中，过度自信可能严格优于理性，因为过度自信像承诺机制，使基金经理在古诺竞争中获利更高，甚至导致双方都雇佣过度自信经理的囚徒困境均衡，说明过度自信能长期存活。
ABSTRACT In a duopoly model of informed speculation, we show that overconfidence may strictly dominate rationality since an overconfident trader may not only generate higher expected profit and utility than his rational opponent, but also higher than if he were also rational. This occurs because overconfidence acts like a commitment device in a standard Cournot duopoly. As a result, for some parameter values the Nash equilibrium of a two‐fund game is a Prisoner's Dilemma in which both funds hire overconfident managers. Thus, overconfidence can persist and survive in the long run.