Essays in finance and behavioral economics

Thumbnail Image
Date
2020-01-01
Authors
Wang, Shirui
Major Professor
Advisor
Elizabeth Hoffman
Committee Member
Journal Title
Journal ISSN
Volume Title
Publisher
Altmetrics
Authors
Research Projects
Organizational Units
Organizational Unit
Journal Issue
Is Version Of
Versions
Series
Department
Economics
Abstract

This dissertation consists of two chapters on finance and experimental economics.

The first chapter studies the dynamic portfolio optimization problem with reinforcement learning. I evaluate several algorithms on simulated data to document their convergence properties and sample efficiencies. I also apply a state-of-the-art algorithm on two empirical problems and show that they outperform other traditional strategies.

The second chapter studies alternating bargaining games, by proposing an ultimatum game with uncertainties. I model the two-stage game as a screening game that incorporates the social factor of fairness, and run experiments to analyze how participants behave in response to bargaining power shift.

Comments
Description
Keywords
Citation
Source
Copyright
Tue Dec 01 00:00:00 UTC 2020