Stochastic and Intransitive Behavior in a State‐Preference Model of Asset Choice*
推导了一个时间状态依赖效用函数的状态偏好模型，将投资选择决策置于博弈论框架中分析，其混合策略解允许概率解释，并能容纳偏好非传递性和满意化等理性行为异常。
ABSTRACT Most models of investor behavior assume a time‐state independent utility function and result in a deterministic solution where a given set of inputs uniquely specifies the decision. In contrast, a state preference model using a time‐state dependent utility function is derived in this paper. The model allows the investment choice decision to be analyzed in a game theoretic context. The general solution is a mixed strategy which allows for a probabilistic interpretation of the decision. The approach presented in this paper can accommodate anomalies such as intransitivity of preference and satisficing as rational behavior. An example of a possible implementation is given along with interpretations of the outcomes.