金融经济学第3章-不确定下的选择理论-期望效用函数.pdfVIP

第3 章 不确定下的选择理论： 期望效用函数 【Definition 】 An individual’ s preferences have an expected utility representation if there exists a function u ~ such that random consumption x is preferred to random ~ consumption y if and only if ~ ~ E[u(x )]  E[u(y )] where E () is the expectation under the individual’s probability belief. 2 3.1 Expected Utility Function Suppose that : ①There are two dates, time 0 and time 1; ②There is a single consumption good available, ③Individual consume only at time 1. ④Uncertainty in the economy is modeled by uncertain states of nature to be realized at time 1.  : the collection of all the possible states of nature ,  : an element of  . 3 【Definition 3.1 】An consumption plan is a specification of the number of units of the single consumption good in different states of nature. x : a consumption plan. x : the number of units of the consumption good in  state of  specified by x . Table3.1 An consumption plan 1 2 3 4 5 2 3 1 8 0 x  4 Let : X be the collection of consumption plans under consideration. ≽ represents an individual’s preference relation defined on a collection of consumption plans X. A preference relation is a mechanism that allows an individual to compare different consumption plans. For example, giv