风险态度与决策权重

Risk Attitudes and Decision Weights

Econometrica · 1995
被引 5
人大 A+FT50ABS 4*

中文导读

提出并刻画了一种权重函数,该函数认为事件在将不可能变为可能或将可能变为确定时影响更大,从而解释风险厌恶与风险寻求模式及对期望效用理论的常见违背。

Abstract

To accommodate the observed pattern of risk-aversion and risk-seeking, as well as common violations of expected utility (e.g., the certainty effect), we introduce and characterize a weighting function according to which an event has greater impact when it turns impossibility into possibility, or possibility into certainty, that when it merely makes a possibility more or less likely. We show how to compare such weighting functions (of different individuals) with respect to the degree of departure from expected utility, and we present a method for comparing an individual\\'s weighting functions for risk and for uncertainty.

风险态度决策权重期望效用确定性效应