《行为金融学入门》.pptVIP

From the view point of the Expected Utility Theory Behavioral Finance 第一页，共三十四页。 Outline 1-1. Rationality in Economic Theory 1-2. Rationality without Uncertainty: Homo Economics 2-1. Rationality under Uncertainty: Expected Utility Theory 2-2. Irrationality under Uncertainty 3-1. Axiomatic systems of the Expected Utility Theory 3-2. Experimental Tests of the Expected Utility Theory 4-1. Risk preference and Certainty Equivalent 4-2. How to Measure Risk Preference: BDM Method 5-1. Subjective Probability in the Expected Utility Theory 5-2. Elicitation of Subjective Probability 6-1. Portfolio Selection Theory 6-2. Portfolio Selection and Non-Expected Theory 第二页，共三十四页。 OUTLINE Are we rational as economists presume? Is your decision making different, under or without uncertainty? “Greed is good,” yelled Michael Douglas in the movie Wall Street (1987). But, are we really so greed, and selfish? 第三页，共三十四页。 Instruction of the game Responder Proposer Perfect strangers $5 is given to both How much do you take from $5? The rest of $5 Do you accept? If yes, then the proposal will be realized. If no, then both will get nothing. 第四页，共三十四页。 The Ultimatum Game You Get $（A-B） The Other Get　$B The Other Anonymous Both Get Nothing Decide $B $A reject accept If you and the other subject are rational, you should give the minimum amount (say,1 cent), and the other should accept it. 第五页，共三十四页。 Gamblers fallacy Heads？ or Tails？ Now Let’s Play！ 第六页，共三十四页。 １００万円 １１０万円 ９０万円 １００万円 １２０万円 ８０万円 ７０万円 １３０万円 １１０万円 ９０万円 １００万円 １２０万円 １４０万円 ６０万円 ８０万円 １ ４ ６ ４ １ Do you understand the fairness? 第七页，共三十四页。 Random Walk 第八页，共三十四页。 “Fair” means “unpredictable for anyone”. 第九页，共三十四页。 The Bank of Sweden Prize in Economic Sciences in Memory of Alfred Nobel 2002 Daniel Kahneman Vernon L. Smith 第十页，共三十四页。 Lessons from the games Man cannot live by money alone. We have the sense of　fairness. We live in the mixture of altruism and self-interest. Cognitive ability of risk and uncertainty is bounded. We can be incon