行为金融学入门 井泽教授lecture 3 axiomatic systems of the expected资料.pptVIP

Axiomatic Systems of the Expected Utility Theory The Expected utility theory was proposed by Bernoulli (1738) ,Ramsey (1931) , von Neumann-Morgenstern (1947) and fully developed by Savage (1954). in which choice over subjectively uncertain prospects is characterized by expected utility risk preferences and standard probabilistic beliefs. The difference of these earlier studies and Ramsey is the manner which represents uncertainty. In the earlier studies, the objective framework, uncertainty comes prepackaged in terms of numerical probabilities. On the other hand, Ramsey treats the choice of probability distributions over outcomes or lotteries A similar and relatively simple formulation, that provides insights into the most important assumptions of expected utility for statistical purposes, was proposed by Anscombe and Aumann (1963). The Expected Utility Maximization Theorem (Savage,1954) Sure-Thing Principle is also called the ‘strong independence assumption’. It states that if outcome x and outcome x′ are indifferent in themselves, then for any outcome y, a probability mix of x and y must be indifferent to a probability mix of x′ and y. Denying the principle is a possible response to the Allais paradox. Sure-Thing Principle Possible Decisions: Take w. ([w]) Refuse w, and take x if tails. (.5[x]+.5[z]) Refuse w, and take y if tails. (.5[y]+.5[z]) suppose an individual would prefer x over y, but he would also prefer .5[y] + .5[z] over .5[x] + .5[z], in violation of substitution. Suppose that w is some other prize that he would consider better than .5[x] + .5[z] and worse than .5[y] + .5[z]. That is, x y but .5[y] + .5[z] [w] .5[x] + .5[z]. Therefore, the third strategy would be best. However, if she/he takes the third strategy, and the coin comes up Tails, then she/he would choose x! That is actually end up with the second strategy , which is worst. Roger B. Myerson, Game Theory: Analysis of Conflict,1997. Why we need Sure-Thing Principle? A Brief Proof