展望理论相关文献回顾asurveyofprospecttheory-中华科技大学.pdfVIP

Journal of China Institute of Technology Vol.28-2003.10 展望理論相關文獻回顧 A Survey of Prospect Theory 潘慈暉 Pan Tzu-Hui 國際貿易 系講師 Department of International Trade 中華技術 學院 China Institute of Technology 摘 要 在解釋人們面對風險（機率分配已知）與 不確定（機率分配未知）情況下 的決策行為時，最廣泛使用與被接納的模型為 Von Neumann 和 Morgenstern （1944）的「期望效用理論－expected utility theory 」。然而，在實際實驗中，發 現在某些情況下會出現與 Von Neumann 和 Morgenstern的規範性公理相互違背 的矛盾現象 ，學者紛紛投入修正型 「效用理論」研究 ，企圖解釋人類決策行為。 本研究主要以著名心理學家Tversky提出的 Prospect Theory及相關研究為主要探 討對象 。Tversky 與 Wakker （1995）及 Tversky 與 Fox （1995）提出決策加權函 數（ weighting function ），發現人們在不確定情況下較風險情況下更為 less sensitive 。Nicholas , Ming Huang and Tano Santos （2001 ）將prospect theory 與資 產定價模型相結合，若能將財富增減變動考慮在效用函數中，更能有效預測資 產價格。 Abstract Trying to explain people’s decision making behavior in face of risk (when probability distribution is unknown) and uncertainty (when probability distribution is known), the most popular known and accepted model is Von Neumann and Morgenstern (1994), which is called expected utility theory. However, in the real world, it is found that sometimes the Von Neumann and Morgenstern model is violated. It seems that the decision behavior of people can’t be fully explained by the Von Neumann and 253 展望相關 文獻回顧 Morgenstern expected utility theory. Lots of researchers have devoted themselves to find the right model to capture people’s decision behavior. The main discussion of this survey paper is focus on those papers written by Tversky,