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Do Markets Favor Agents Able to Make Accurate Predictions? Alvaro Sandroni Introduction A Model of Reinvestment Endogenous Investment and Savings –Examples A Model of Endogenous Investment and Savings Basic Concepts Predictions and Survival Convergence to Rational Expectations Conclusion Introduction (1) A long-standing theory in economics is that agents who do not predict as accurately as others are driven out of the market, and it underlies the efficient-markets hypothesis and the use of rational expectations equilibrium as a solution concept because it implies that asset prices will eventually reflect the beliefs of agents making accurate predictions. However, under certain conditions the agents who have accumulated more wealth are also those who have made the worst prediction.Blume and Easley (1992) is an example. Introduction (2) Blume and Easley (1992) show that if agents’ have the same savings rule, those who maximize the expected logarithm of next period’s outcomes will eventually hold all wealth. However, if no agent adopts this rule then the most prosperous are not necessarily those who make the most accurate predictions. Agents with incorrect beliefs, but equally averse to risk, may choose an investment rule closer to the MEL rule, and so eventually accumulates more wealth than the agent with correct beliefs. Introduction (3) The recent literature casts serious doubt on the theory that agents with incorrect beliefs will be driven out of the market by those with correct beliefs.This paper seeks to resurrect this intuitive theory. The main difference is that,in the recent literature, savings are exogenously fixed and agents’ choices are solely restricted to investment decisions.In this model, I assume that agents make savings and investments decisions that fully maximize expected discounted utility. Introduction (4) In this paper, I show that if markets are dynamically complete then, among agents who have the same intertemporal discount factor (but
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