Lý thuyết tiện ích kỳ vọng ngẫu nhiên

Springer Science and Business Media LLC - Tập 34 - Trang 259-286 - 2007
Pavlo R. Blavatskyy1
1Institute for Empirical Research in Economics, University of Zurich, Zurich, Switzerland

Tóm tắt

Bài viết này đề xuất một lý thuyết quyết định mới về cách mà các cá nhân mắc phải lỗi ngẫu nhiên khi tính toán tiện ích kỳ vọng của các lottery có rủi ro. Khi bị méo mó bởi lỗi, tiện ích kỳ vọng của một lottery không bao giờ vượt quá (hoặc thấp hơn) tiện ích của kết quả cao nhất (thấp nhất). Giả định này ngụ ý rằng các lỗi có khả năng làm cho các lottery có tiện ích kỳ vọng gần với tiện ích của kết quả thấp nhất (cao nhất) trở nên được đánh giá cao (thấp). Lý thuyết được đề xuất giải thích nhiều sự thật thực nghiệm điển hình như cấu trúc bốn chiều của thái độ đối với rủi ro, hiệu ứng kết quả chung (ng Paradoxe Allais), hiệu ứng tỷ lệ chung và các vi phạm của tính liên tục. Lý thuyết khớp với dữ liệu từ mười nghiên cứu thực nghiệm nổi tiếng ít nhất là tốt như lý thuyết tiềm năng tổng hợp.

Từ khóa

#Lý thuyết tiện ích kỳ vọng #lỗi ngẫu nhiên #lottery có rủi ro #thái độ đối với rủi ro #hiệu ứng kết quả chung #Paradoxe Allais #hiệu ứng tỷ lệ chung #vi phạm tính liên tục.

Tài liệu tham khảo

Allais, Maurice. (1953). “Le Comportement de L’homme Rationnel Devant le Risque: Critique des Postulates et Axiomes de L’école Américaine,” Econometrica 21, 503–546. Ballinger, Parker T., and Nathaniel T. Wilcox. (1997). “Decisions, Error and Heterogeneity,” Economic Journal 107, 1090–1005. Battalio, Raymond, John H. Kagel, and Romain Jiranyakul. (1990). “Testing Between Alternative Models of Choice Under Uncertainty: Some Initial Results,” Journal of Risk and Uncertainty 3, 25–50. Becker, Gordon M., Morris H. DeGroot, and Jacob Marschak. (1963). “Stochastic Models of Choice Behavior,” Behavioral Science 8, 41–55. Bernasconi, Michele. (1994). “Nonlineal Preference and Two-stage Lotteries: Theories and Evidence,” Economic Journal 104, 54–70. Blavatskyy, Pavlo R. (2005). “A Stochastic Expected Utility Theory,” IEW working paper 231, http://www.iew.unizh.ch/wp/iewwp231.pdf. Blavatskyy, Pavlo R. (2006a). “Violations of Betweenness or Random Errors?” Economics Letters 91, 34–38. Blavatskyy, Pavlo R. (2006b). “Stochastic Choice Under Risk,” IEW working paper 272, http://www.iew.unizh.ch/wp/iewwp272.pdf. Buschena, David, and David Zilberman. (2000). “Generalized Expected Utility, Heteroscedastic Error, and Path Dependence in Risky Choice,” Journal of Risk and Uncertainty 20, 67–88. Camerer, Colin F. (1989). “An Experimental Test of Several Generalized Utility Theories,” Journal of Risk and Uncertainty 2, 61–104. Camerer, Colin F. (1992). “Recent Tests of Generalizations of Expected Utility Theory.” In Ward Edwards (ed.), Utility: Theories, Measurement, and Applications. Norwell, MA: Kluwer. Camerer, Colin F. (1995). “Individual Decision Making.” In John Kagel and Alvin Roth (eds.), The Handbook of Experimental Economics. Princeton: Princeton University Press. Camerer, Colin F., and Teck-Hua Ho. (1994). “Violations of the Betweenness Axiom and Nonlinearity in Probability,” Journal of Risk and Uncertainty 8, 167–196. Carbone, Enrica, and John D. Hey. (2000). “Which Error Story is Best?” Journal of Risk and Uncertainty 20, 161–176. Chew, Soo-Hong, and William S. Waller. (1986). “Empirical Tests of Weighted Utility Theory,” Journal of Mathematical Psychology 30, 55–72. Conlisk, John. (1989). “Three Variants on the Allais Example,” American Economic Review 79, 392–407. Coombs, Clyde, and Lily Huang. (1976). “Tests of the Betweenness Property of Expected Utility,” Journal of Mathematical Psychology 13, 323–337. Dekel, Eddie. (1986). “An Axiomatic Characterization of Preferences Under Uncertainty,” Journal of Economic Theory 40, 304–318. Friedman, Milton, and Jimmie L. Savage. (1948). “The Utility Analysis of Choices Involving Risk,” Journal of Political Economy 56, 279–304. Gigliotti, Gary, and Barry Sopher. (1993). “A Test of Generalized Expected Utility Theory,” Theory and Decision 35, 75–106. Gneezy, Uri, John List, and George Wu. (2006). “The Uncertainty Effect: When a Risky Prospect is Valued Less than its Worst Possible Outcome,” Quarterly Journal of Economics 121, 1283–1309. Gonzalez, Richard, and George Wu. (1999). “On the Shape of the Probability Weighting Function,” Cognitive Psychology 38, 129–166. Harless, David, and Colin F. Camerer. (1994). “The Predictive Utility of Generalized Expected Utility Theories,” Econometrica 62, 1251–1289. Hertwig, Ralph, and Andreas Ortmann. (2001). “Experimental Practices in Economics: A Methodological Challenge for Psychologists?” Behavioral and Brain Sciences 24, 383–451. Hey, John D. (1995). “Experimental Investigations of Errors in Decision Making Under Risk,” European Economic Review 39, 633–640. Hey, John D. (2001). “Does Repetition Improve Consistency?” Experimental Economics 4, 5–54. Hey, John D. (2005). “Why We Should Not be Silent About Noise,” Experimental Economics 8, 325–345. Hey, John D., and Enrica Carbone. (1995). “Stochastic Choice with Deterministic Preferences: An Experimental Investigation,” Economics Letters 47, 161–167. Hey, John D., and Chris Orme. (1994). “Investigating Generalisations of Expected Utility Theory Using Experimental Data,” Econometrica 62, 1291–1326. Kagel, John H., Don N. MacDonald, and Raymond C. Battalio. (1990). “Tests of ‘Fanning Out’ of Indifference Curves: Results from Animal and Human Experiments,” American Economic Review 80, 912–921. Kahneman, Daniel, and Amos Tversky. (1979). “Prospect Theory: An Analysis of Decision Under Risk,” Econometrica 47, 263–291. Knight, Frank H. (1921). Risk, Uncertainty, and Profit. New York: Houghton Mifflin. Loomes, Graham, and Robert Sugden. (1995). “Incorporating a Stochastic Element into Decision Theories,” European Economic Review 39, 641–648. Loomes, Graham, and Robert Sugden. (1998). “Testing Different Stochastic Specifications of Risky Choice,” Economica 65, 581–598. Loomes, Graham, Peter Moffatt, and Robert Sugden. (2002). “A Microeconomic Test of Alternative Stochastic Theories of Risky Choice,” Journal of Risk and Uncertainty 24, 103–130. Luce, R. Duncan, and Patrick Suppes. (1965). “Preference, Utility, and Subjective Probability.” In R. Duncan Luce, Robert R. Bush, and Eugene Galanter (eds.), Handbook of Mathematical Psychology, Vol. III, 249–410. New York: Wiley. MacCrimmon, Kenneth, and Stig Larsson. (1979). “Utility Theory: Axioms Versus Paradoxes.” In Maurice Allais and Ole Hagen (eds.), Expected Utility Hypotheses and the Allais Paradox. Dordrecht: Reidel. Machina, Mark. (1982). “‘Expected Utility’ Analysis Without the Independence Axiom,” Econometrica 50, 277–323. Machina, Mark. (1985). “Stochastic Choice Functions Generated from Deterministic Preferences over Lotteries,” Economic Journal 95, 575–594. Markowitz, Harry. (1952). “The Utility of Wealth,” Journal of Political Economy 60, 151–158. Prelec, Drazen. (1990). “A ‘Pseudo-endowment’ Effect, and its Implications for Some Recent Nonexpected Utility Models,” Journal of Risk and Uncertainty 3, 247–259. Quiggin, John. (1981). “Risk Perception and Risk Aversion Among Australian Farmers,” Australian Journal of Agricultural Economics 25, 160–169. Slovic, Paul, and Amos Tversky. (1974). “Who Accepts Savage’s Axiom?” Behavioral Science 19, 368–373. Smith, Vernon L., and James Walker. (1993). “Monetary Rewards and Decision Cost in Experimental Economics,” Economic Inquiry 31, 245–261. Starmer, Chris, (2000). “Developments in Non-Expected Utility Theory: The Hunt for a Descriptive Theory of Choice Under Risk,” Journal of Economic Literature 38, 332–382. Starmer, Chris, and Robert Sugden. (1989). “Probability and Juxtaposition Effects: An Experimental Investigation of the Common Ratio Effect,” Journal of Risk and Uncertainty 2, 159–178. Tversky, Amos, and Daniel Kahneman. (1992). “Advances in Prospect Theory: Cumulative Representation of Uncertainty,” Journal of Risk and Uncertainty 5, 297–323. Vuong, Quang H. (1989). “Likelihood Ratio Tests for Model Selection and Non-nested Hypotheses,” Econometrica 57, 307–333. Wu, George. (1994). “An Empirical Test of Ordinal Independence,” Journal of Risk and Uncertainty 9, 39–60. Wu, George, and Richard Gonzalez. (1996). “Curvature of the Probability Weighting Function,” Management Science 42, 1676–1690.