A promessa de alto rendimento como golpe para roubar recursos de investidores neutros ao risco: uma aplicação da Teoria dos Jogos aos esquemas Ponzi

Abstract

This study aims to analyze and understand the motivation behind the existence of Ponzi schemes to this day, given that it is a criminal activity that causes serious damage to those who fall victim to it and consequently to the economy when the schemes reach a large enough scale. Due to incomplete information, the investor is limited to assessing their chances and makes their decision based on that. To reach a satisfactory conclusion, we model this decision-making process through two games and find a Nash equilibrium that justifies the existence of investment in this type of security, which 'blends in' with good market securities. Each game considers a different type of investor, where the first is unaware that the security stems from a Ponzi scheme, and the second has this information. We identified that the main focus of the existence of this type of scheme is precisely the promise of returns that surpass the market, leading the investor to assess their risk and make decisions based on that, aiming to minimize the risk of losing their capital by investing in a Ponzi scheme while simultaneously maximizing their chances of obtaining a higher return on the capital available to invest, i.e., above the market average.