基于实验基础的累积前景理论公理化重建  

Axiomatic reconstruction based on the experimental findings of cumulative prospect theory

作　　者：陶刚[1] 戴青 吴贾 TAO Gang;DAI Qing;WU Jia(School of Management and Economics,Guizhou Normal University,Guiyang 550025,China;Business School,Shandong University,Weihai 264209,China)

机构地区：[1]贵州师范大学经济与管理学院,贵阳550025 [2]山东大学商学院,威海264209

出　　处：《系统工程理论与实践》2022年第9期2447-2460,共14页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(72073051);贵州省哲学社会科学规划课题(20GZYB14);贵州师范大学资助博士科研项目(11904/0517043)。

摘　　要：期望效用理论因其核心公理——独立性公理的过强假设导致其现实解释能力不强;而累积前景理论因为结合了影响决策者风险行为的心理因素而具有更强的现实解释能力,但该理论也由于其公理基础——双匹配公理和共同独立公理与行为实验所揭示的风险决策行为规律相偏离而成为该理论的一个瑕疵.本文通过对独立性公理施加限制,结合前景理论行为实验中的三个风险决策规律——结合效应、齐次效应、双边际递减效应,对累积前景理论假设进行了完善,重新给出累积前景理论模型的证明过程,构建了具有参照点依赖、排序依赖以及非线性概率加权的风险效用函数模型,实现了对决策者风险态度随决策环境而变化的成功描述.文中分别针对正回报风险资产、负回报风险资产和混合回报风险资产三种情形详细讨论了模型的理论性质和经济直觉,在理论证明中揭示了正、负回报风险态度镜像效应所产生的原因,指出在混合回报情况下风险决策者会对概率为零的心理参照点状态赋予非零决策权重.文章最后指出期望效用理论模型是累积前景理论模型在概率偏好函数为线性情形下的退化形式.Due to its strong assumption in the independence axiom,expected utility theory cannot well describe risk attitudes in reality.Cumulative prospect theory complements expected utility theory by incorporating a decision maker’s mentality,making it a more interpretive model of choices under risk.However,its axiomatic assumptions,namely the double matching axiom and the common independence axiom,conflict with agents’ real choices in laboratory studies.Such conflicts are considered as the theoretical flaw of cumulative prospect theory.This paper restricts the independence axiom,combines the three risk decision-making rules obtained by prospect theory in its behavioral experiments.Specifically,we take combination,homogeneity,and dual diminishing sensitivity into account.The four new axiomatic assumptions have been used to re-prove cumulative prospect theory.The derived model is a utility function with reference point dependence,rank dependence,and nonlinear weighting of probabilities,so that it allows the risk attitudes of decision-makers to change with the specific decision circumstances.The axiomatic properties and economic intuitions of the model are well discussed in detail in three scenarios:Positive prospects,negative prospects,and mixed prospects.Moreover,this paper also discusses the reason for the reflection effect of positive and negative prospects.In the case of mixed prospects,risk decision-makers assign non-zero weight to the reference point state with actual zero probability.Finally,the paper suggests that the expected utility model is a reduced form of the cumulative prospect theory model when the probability preference function is linear.

关 键 词：累积前景理论 独立性公理 参照点依赖 排序依赖 非线性概率加权 

分 类 号：C934[经济管理—管理学]