非期望效用框架下的荷兰赌论证与学习

Dutch Books Arguments and Learning in a Nonexpected Utility Framework

International Economic Review · 1995
被引 4
人大 AABS 4

中文导读

证明,在最大最小期望效用理论下,单期无法确保赢钱的荷兰赌在多期可能成立,除非决策者采取策略行为,但小额偏离时利润可能低于交易成本。

Abstract

If an individual follows maximin expected utility theory, then a smart outsider cannot, in general, make a bet with him/her that is certain to win in a single time period. However, the author shows that, when there are many time periods, this is possible in his model unless the decisionmaker uses strategic behavior. There are some exceptions, in particular for small deviations from expected utility profits may be less than the transactions costs. Copyright 1995 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.

荷兰赌非期望效用跨期套利策略行为