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Game Theory in Research of Bounded Rationality Behavior of Fund Managers

Author: JiangHaiZhu
Tutor: SunGuangYi
School: Harbin Engineering University
Course: Applied Mathematics
Keywords: Game theory Bounded rationality Decision-making choices Behavior
CLC: O225
Type: Master's thesis
Year: 2011
Downloads: 25
Quote: 0
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Abstract


The Chinese Stock Market emerges, it has gradually developed in the aspect of scale, institutional and regulatory etc. With economic development and market promotion, the development of securities investment fund is rapid. Securities investment fund managers who operate and manage the distribution of the fund, have played an important role for the fund performance and stability of securities market. However, due to the limited rational investors, these phenomenons occur frequently that the fund operation is not standard and investment style is similar. Therefore, it is important to study bounded rationality behavior of fund managers.Based on evolutionary game theory and method, the investment behavior of bounded rationality of fund managers is presented in this paper, using replicated dynamic evolutionary stable strategy.Firstly, the main factors of the rational of fund managers are introduced in this paper. The behavior mechanism of the fund managers is discussed with rational analysis for the fund managers’cognitive model and decision selection. In the process of complex investment fund, the little people who have complete rational can make it.Secondly, the decision-making elements which influence bounded rationality of fund managers and other investors are took into account. In most cases, pure strategy Nash equilibrium no longer exists, expected revenue under the mixed strategy is given, and we obtain the benefit matrix according to the factors. The fund managers of bounded rationality build the game models with fund conservators, QFII, etc.Finally, the herding behavior of bounded rationality fund managers is analysed by the replicator equations, Nash equilibrium and evolutionarily stable strategy are give in this paper.This paper studies the behavior of bounded rationality fund managers with evolutionarily stable strategy. According to the demonstration analysis, The method of the investment turned to the optimization process is given in this paper.

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CLC: > Mathematical sciences and chemical > Mathematics > Operations Research > Game theory ( game theory )
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