三参照点理论(Tri-Reference Point Theory,Wang,2008a;Wang&Johnson,2012)以底线、现状和目标为参照点,将决策结果空间划分为失败、损失、获益和成功4个功能区域。根据3个参照点的心理权重的排序:底线>目标>现状,该模型继而...三参照点理论(Tri-Reference Point Theory,Wang,2008a;Wang&Johnson,2012)以底线、现状和目标为参照点,将决策结果空间划分为失败、损失、获益和成功4个功能区域。根据3个参照点的心理权重的排序:底线>目标>现状,该模型继而推导出跨越不同区域的以现状为分界的双S-型的价值函数,以及据此产生的对于跨越不同参照点的预期结果的偏好转换、和损失-获益及失败-成功的两种不对称性。总之,风险决策的基本任务在于,在使得达到目标的可能性最大化的同时使底线不保的可能性最小化。三参照点理论将统计学和金融学中的均值与方差(均差)分析与行为决策研究中的参照点效应有机地结合在一起;在面对不同的风险选项时,通过分析各个预期结果的均差分布与3个参照点之间的关系作出适应性的决策。本文介绍了三参照点理论的基本推论、运行原则、实证检验、以及它与期望效用理论和前景理论相比较的异同之处。同时我们也探讨了三参照点理论对实践中管理决策的指导意义和多重启示。展开更多
This paper characterizes the optimal solution of subjective expected utility with S-shaped utility function, by using the prospect theory （PT）. We also prove the existence of Arrow-Debreu equilibrium.
The likelihood function plays a central role in statistical analysis in relation to information, from both frequentist and Bayesian perspectives. In large samples several new properties of the likelihood in relation t...The likelihood function plays a central role in statistical analysis in relation to information, from both frequentist and Bayesian perspectives. In large samples several new properties of the likelihood in relation to information are developed here. The Arrow-Pratt absolute risk aversion measure is shown to be related to the Cramer-Rao Information bound. The derivative of the log-likelihood function is seen to provide a measure of information related stability for the Bayesian posterior density. As well, information similar prior densities can be defined reflecting the central role of likelihood in the Bayes learning paradigm.展开更多
The question of optimal portfolio is that finds the trading strategy satisfying the maximal expected utility function subject to some constraints. There is the optimal trading strategy under the risk neutral probabili...The question of optimal portfolio is that finds the trading strategy satisfying the maximal expected utility function subject to some constraints. There is the optimal trading strategy under the risk neutral probability measure （martingale measure） if and only if there is no-arbitrage opportunity in the market. This paper argues the optimal wealth and the optimal value of expected utility with different utility function.展开更多
文摘三参照点理论(Tri-Reference Point Theory,Wang,2008a;Wang&Johnson,2012)以底线、现状和目标为参照点,将决策结果空间划分为失败、损失、获益和成功4个功能区域。根据3个参照点的心理权重的排序:底线>目标>现状,该模型继而推导出跨越不同区域的以现状为分界的双S-型的价值函数,以及据此产生的对于跨越不同参照点的预期结果的偏好转换、和损失-获益及失败-成功的两种不对称性。总之,风险决策的基本任务在于,在使得达到目标的可能性最大化的同时使底线不保的可能性最小化。三参照点理论将统计学和金融学中的均值与方差(均差)分析与行为决策研究中的参照点效应有机地结合在一起;在面对不同的风险选项时,通过分析各个预期结果的均差分布与3个参照点之间的关系作出适应性的决策。本文介绍了三参照点理论的基本推论、运行原则、实证检验、以及它与期望效用理论和前景理论相比较的异同之处。同时我们也探讨了三参照点理论对实践中管理决策的指导意义和多重启示。
文摘This paper characterizes the optimal solution of subjective expected utility with S-shaped utility function, by using the prospect theory （PT）. We also prove the existence of Arrow-Debreu equilibrium.
文摘The likelihood function plays a central role in statistical analysis in relation to information, from both frequentist and Bayesian perspectives. In large samples several new properties of the likelihood in relation to information are developed here. The Arrow-Pratt absolute risk aversion measure is shown to be related to the Cramer-Rao Information bound. The derivative of the log-likelihood function is seen to provide a measure of information related stability for the Bayesian posterior density. As well, information similar prior densities can be defined reflecting the central role of likelihood in the Bayes learning paradigm.
文摘The question of optimal portfolio is that finds the trading strategy satisfying the maximal expected utility function subject to some constraints. There is the optimal trading strategy under the risk neutral probability measure （martingale measure） if and only if there is no-arbitrage opportunity in the market. This paper argues the optimal wealth and the optimal value of expected utility with different utility function.
