不确定性下的高阶风险厌恶理论、实验及其应用  

Theory, Experiment and Applications of Higher Order Risk Aversion under Uncertainty

作　　者：田国强[1] 田有功[1,2] 

机构地区：[1]上海财经大学经济学院,教授上海200433 [2]兰州财经大学数学系,讲师甘肃兰州730020

出　　处：《学术月刊》2017年第8期68-79,共12页Academic Monthly

摘　　要：传统风险厌恶理论在分析和研究最优经济决策问题方面具有较大局限性,在许多情形下,无法对个体的行为决策做出合理的解释。随着风险厌恶理论的不断发展,在期望效用分析框架下,越来越多的研究把更加高阶的风险厌恶行为(特别地,风险厌恶、风险谨慎、风险节制和风险急躁分别对应2阶、3阶、4阶和5阶风险分摊)纳入到相应的分析框架,不断完善风险厌恶理论的分析内容,在一定程度上解释了传统风险厌恶理论无法解释的一些经济现实、金融行为和现象。与此同时,在非期望效用分析框架下,最近发展起来的高阶风险厌恶理论急需实验证据的支撑;反过来,在实证研究中所捕获的实验证据又为高阶风险厌恶理论提供了更加直观的解释。本文主要对当前高阶风险厌恶理论的前沿发展、实验证据以及相关应用进行了梳理和评述,有助于我们对不确定性下风险厌恶领域的前沿发展有所了解。The traditional theory of risk aversion has many limitations in analyzing and studying the optimal result of decision making, and fails to make the reasonable explanation to individual behavior decision in many cases. With constant progress made in the risk aversion theory, an increasing number of studies involve higher order risk aversion （particularly, risk aversion, prudence, temperance and edginess are equivalent to risk apportionment of order 2, 3, 4 and 5, respectively） in their analysis within an expected utility framework so that the theory of risk aversion is further enriched and its explanatory power is enhanced to a certain degree in real economic and financial behaviors and phenomena. Meanwhile, outside an expected utility framework, the recently proposed higher order risk aversion theory needs the support from experimental evidences, while the experimental evidences captured in empirical study in turn provide more intuitive explanation for the theory of higher order risk attitudes. This paper mainly reviews the latest theory, experimental evidences and related applications of higher order risk aversion to provide a theoretical overview of the frontier development in the field of risk aversion under uncertainty.

关 键 词：风险谨慎 高阶风险厌恶 实验证据 预防性努力 

分 类 号：F01[经济管理—政治经济学]