决策理论与方法3a（Decision theory and method 3A）.docVIP

决策理论与方法3a（Decision theory and method 3A） The third chapter, the loss and risk utility (Utility Loss, and Risk) This chapter mainly References: 60, 56, 86, 87, 92129156169183184 Section 3 - 1 utility definitions and axioms I. Introduction And why should we use the utility The characteristics of decision problem: the natural state of uncertainty in probability; The value to be determined: the consequences of utility measure. 1. invisible consequences, non digital quantity (such as reputation, prestige, an umbrella the consequences of the problem) to numerical measure; 2. even number (e.g. money) said the consequences of its value remains to be determined, the consequences of the value of It differs from man to man. A: the same is 100 yuan of money to the poor, and the millionaires value is quite different; for the same person, penniless when 100 Yuan has 10000 yuan, with the increase of 100 yuan a different role, this is the edge value of money. In two cases: As the mathematical model of the actual commercial business, is of universal significance Some people think that the bet as gifts, i.e. * from the above two examples indicated that in the decision analysis, how to describe (expression) the actual value of the consequences, so that People reflect the preference order decision problem (preference order) * is a reflection of personality preference order and value view of the decision, and the decision by the social and economic status, cultural literacy, The psychological and physiological status (body). In addition to * risk preference, time preference. I, the discount rate is II, the other The utility (Utility) quantization is preference, is the number of (real valued function). Daniel Bernoulli pointed out in 1738: If a person is facing from a given action set (risk expectation set) decision problem of choice, if he knew that with a given line The future of the natural state, and the state probability is known or can be estimated, then he should choose for all po