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The Standard Model of Rational Risky Decision-Making
Journal of Risk and Financial Management Pub Date : 2021-04-02 , DOI: 10.3390/jrfm14040158
Kazem Falahati

Expected utility theory (EUT) is currently the standard framework which formally defines rational decision-making under risky conditions. EUT uses a theoretical device called von Neumann–Morgenstern utility function, where concepts of function and random variable are employed in their pre-set-theoretic senses. Any von Neumann–Morgenstern utility function thus derived is claimed to transform a non-degenerate random variable into its certainty equivalent. However, there can be no certainty equivalent for a non-degenerate random variable by the set-theoretic definition of a random variable, whilst the continuity axiom of EUT implies the existence of such a certainty equivalent. This paper also demonstrates that rational behaviour under utility theory is incompatible with scarcity of resources, making behaviour consistent with EUT irrational and justifying persistent external inconsistencies of EUT. A brief description of a new paradigm which can resolve the problems of the standard paradigm is presented. These include resolutions of such anomalies as endowment effect, asymmetric valuation of gains and losses, intransitivity of preferences as well as the St. Petersburg Paradox.

中文翻译:

理性风险决策的标准模型

期望效用理论(EUT)是当前的标准框架,正式定义了在风险条件下的理性决策。EUT使用一种称为von Neumann–Morgenstern效用函数的理论装置,其中功能和随机变量的概念以其预设的理论意义使用。这样得出的任何冯·诺依曼-莫根斯滕效用函数都声称可以将一个非退化的随机变量转换成其确定性等效项。但是,根据随机变量的集理论定义,无法确定非退化随机变量的等价性,而EUT的连续性公理则意味着存在这种等价性。本文还证明了效用理论下的理性行为与资源稀缺是不相容的,使行为与EUT非理性一致,并证明EUT持续存在外部矛盾。简要描述了可以解决标准范式问题的新范式。这些措施包括诸如捐赠效应,收益和损失的不对称估值,偏好的不及格性以及圣彼得堡悖论之类的异常现象的解决。
更新日期:2021-04-02
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