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題名 | 展望理論相關文獻回顧=A Survey of Prospect Theory |
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作者 | 潘慈暉; Pan, Tzu-hui; |
期刊 | 中華技術學院學報 |
出版日期 | 20031000 |
卷期 | 28 2003.10[民92.10] |
頁次 | 頁251-260 |
分類號 | 563.52 |
語文 | chi |
關鍵詞 | 展望理論; 投資心理; 風險; Prospect theory; Framing effect; Weight function; |
中文摘要 | 在解釋人們面對風險(機率分配已知)與不確定(機率分配未知)情況下的決策行為時,最廣泛使用與被接納的模型為Von Neumann和Morgenstern(1944)的「期望效用理論-expected utility theory」。然而,在實際實驗中,發現在某些情況下會出現與Von Neumann和Morgenstern的規範性公理相互違背的矛盾現象,學者紛紛投入修正型「效用理論」研究,企圖解釋人類決策行為。本研究主要以著名心理學家Tversky提出的Prospect Theory及相關研究為主要探討對象。Tversky與Wakker(1995) 及Tversky與Fox(l995)提出決策加權函數(weighting function),發現人們在不確定情況下較風險情況下更為less sensitive。Nicholas, Ming Huang and Tano Santos(2001)將 prospect theory 與資產定價模型相結合,若能將財富增減變動考慮在效用函數中,更能有效預測資產價格。 |
英文摘要 | Trying to explain people's decision making behavior in face of risk (when probability distribution is unknown) and uncertainty (when probability distribution is known), the most popular known and accepted model is Von Neumann and Morgenstern (1994), which is called expected utility theory. However, in the real world, it is found that sometimes the Von Neumann and Morgenstern model is violated. It seems that the decision behavior of people can't be fully explained by the Von Neumann and Morgenstern expected utility theory. Lots of researchers have devoted themselves to find the right model to capture people's decision behavior. The main discussion of this survey paper is focus on those papers written by Tversky, because he is by no means one of the initial authors to present the related theory. Tversky and Wakker (1995) propose decision the weighting functions, they found that people are much less sensitive under uncertainty than they are under risk. Nicholas, Ming Huang and Tano Santos (2001) try to use prospect theory in asset pricing. They find that if we consider the wealth change into utility function, we can make better forecast in asset pricing. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。