Probability and Risk: Foundations and Economic Implications of Probability-Dependent Risk Preferences
梳理了风险偏好随结果概率非线性变化的证据，解释其如何统一解释股权溢价之谜、赌马长尾偏差等市场异象，并指出忽略概率依赖会阻碍对重要经济现象的理解与预测。
A large body of evidence has documented that risk preferences depend nonlinearly on outcome probabilities. We discuss the foundations and economic consequences of probability-dependent risk preferences and offer a practitioner's guide to understanding and modeling probability dependence. We argue that probability dependence provides a unifying framework for explaining many real-world phenomena, such as the equity premium puzzle, the long-shot bias in betting markets, and households' underdiversification and their willingness to buy small-scale insurance at exorbitant prices. Recent findings indicate that probability dependence is not just a feature of laboratory data, but is indeed manifest in financial, insurance, and betting markets. The neglect of probability dependence may prevent researchers from understanding and predicting important phenomena.