The Evolution of Security Designs
研究竞争性完美金融市场中，具有异质性现金流估值的代理人通过适应性学习而非理性预期进行决策时，安全设计如何演化，发现长期仍存在错误定价，最优设计需权衡低估与内在价值最大化。
ABSTRACT We consider a competitive and perfect financial market in which agents have heterogeneous cash flow valuations. Instead of assuming that agents are endowed with rational expectations, we model their behavior as the product of adaptive learning. Our results demonstrate that adaptive learning affects security design profoundly, with securities mispriced even in the long run and optimal designs trading off underpricing against intrinsic value maximization. The evolutionary dominant security design calls for issuing securities that engender large losses with a small but positive probability, but that otherwise produce stable payoffs, almost the exact opposite of the pure state claims that are optimal in the rational expectations framework.