Adding Risks: Samuelson's Fallacy of Large Numbers Revisited
指出,接受一系列独立且期望收益为正的赌注并不违背预期效用理论,反而很常见,反驳了萨缪尔森关于大数谬误的经典论断。
Samuelson called accepting a sequence of independent positive mean bets that are individually unacceptable a fallacy of large numbers, and subsequent researchers have extended Samueison's condition on utility functions to assure that they would not allow this fallacy. By contrast, some behavioralists, arguing the merits of diversification, believe that it is simply wrong headed to refuse a long series of independent bets out of a misguided faith in expected utility theory. Contrary to what one might infer from the literature, this paper shows that accepting sequences of good bets is both consistent with expected utility theory and quite usual,