概率态度、有限参与和追逐数量——基于王变换的预期效用模型  

Probabilistic attitudes,limited participation,and chase the quantity:Based on anticipated utility model with the Wang transform

作　　者：王妍婕 孙玉哲 张顺明[2] WANG Yanjie;SUN Yuzhe;ZHANG Shunming(School of Finance,Southwestern University of Finance and Economics,Chengdu 611130,China;School of Finance,Renmin University of China,Beijing 100872,China)

机构地区：[1]西南财经大学金融学院,成都611130 [2]中国人民大学财政金融学院,北京100872

出　　处：《系统工程理论与实践》2023年第3期772-794,共23页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金面上项目(72173125,72233003);国家社会科学基金(21AZD028,22AZD050)。

摘　　要：本文将王变换与预期效用模型相结合,考察投资者对客观概率分布的不确定性态度如何影响其投资行为及均衡时的资产价格和持有头寸.该模型可将决策者的风险态度、对资产收益与损失发生概率的态度、以及对暧昧性的态度进行区分并讨论.本文构建了包含单种风险资产和三类对不确定性持有不同态度的投资者的市场,讨论投资者的需求曲线,并得到在无暧昧市场中以及暧昧市场下唯一的一般均衡.通过对均衡分析,本文发现,暧昧性本身并非是导致投资者出现有限参与现象与追逐数量现象的必要原因;投资者们对客观概率分布的扭曲态度,同样会导致这些金融异象的出现.In this paper,we investigate the effects of investors’attitudes toward objective distributions on their trading activity and the corresponding market equilibrium.We adopt the anticipated utility model,combined with the Wang transform,to evaluate individuals’well-being.Our model successfully separates an individual’s risk attitude,ambiguity attitude,and her preference for asset gains and asset losses.A one-risky-asset model with three types of investors is set up,where investors have heterogeneous attitudes toward objective probabilities.We derive and discuss the demand functions of investors,and then analyze the general equilibria in both the markets with and without ambiguity.In equilibrium,the limited participation phenomenon and the“chase-the-quantity”phenomenon are observed in both markets,confirming that ambiguity is not the unique or necessary driver of these“anomalies”;instead,the investors’attitude towards objective probabilistic uncertainty can also lead to the occurrence of these phenomena.

关 键 词：预期效用理论 王变换 暧昧性 概率分布态度 有限参与现象 追逐数量现象 

分 类 号：F831[经济管理—金融学]