行为金融学 讲座2.pdf

14.127 Behavioral Economics (Lecture 2) Xavier Gabaix February 12, 2004 0.1 Cumulative PT • Remind from last lecture: for continuous gambles with distribution f(x) EU gives: V = Z +∞u(x) f(x) dx, −∞ PT gives: V = Z +∞ 0 u(x) f(x) π (P (g ≥x)) dx 0 + Z 0 0 u(x) f(x) π (P (g ≤x)) dx −∞ • Alternatively, we can write it as Riemann-Stieltjes integral V = −Z0+∞u(x) dπ(1 −P (gx)) + Z 0 u(x) dπ(P (g ≤x)) −∞ • This simplifies to PT for two outcome gambles. Indeed, it is self- evident in the Riemann-Stieltjes form. 1 The endowment effect — a consequence of PT • Lab experiment, Kahneman, Knetsch, Thaler, JPE 1990. — Half of the subjects receives an MIT apple, and the other half receives $10. — Then willingness to pay WTP for the apple is elicited from subjects with money, and willingness to accept WTA is elicited from subjects with mugs. • In EU we have WTP = WTA (modulo wealth effects, which are small) • In simplified (linear) PT value getting an apple and lose $x is V = u(apple) + u(−x) = A−λx (note–there are mental accounting ideas plugged in here that is we process apple and money on separate accounts). • Thus, in PT, one accepts when A−λx≥0 so that A WTA= . λ • In simplified (linear) PT value losing an apple and gaining $x is