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1、From the view point of the Expected Utility Theory,Behavioral Finance,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 Expect
2、ed 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
3、 6-2. Portfolio Selection and Non-Expected Theory,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?,Instruction of the game
4、,Responder,Proposer,Perfect strangers,$5 is given to both,The Ultimatum Game,If you and the other subject are rational, you should give the minimum amount (say,1 cent), and the other should accept it.,Gamblers fallacy,Heads？ or Tails？,Now Lets Play！,万円,万円,万円,万円,万円,万円,万円,万円,万円,万円,万円,万円,万円,万円,万円,Do yo
5、u understand the fairness?,Random Walk,“Fair” means “unpredictable for anyone”.,The Bank of Sweden Prize in Economic Sciences in Memory of Alfred Nobel 2002,Daniel Kahneman,Vernon L. Smith,Lessons from the games,Man cannot live by money alone. We have the sense offairness. We live in the mixture of
6、altruism and self-interest.,Cognitive ability of risk and uncertainty is bounded. We can be inconsistent in the perceprion of risk und uncertainty.,superstructure,Conventional view of economics,Behavioral Approach,AND,We are not computers.,What is “rational”?,Do you want the more money? Do you want
7、only the more money?,Rationality,A axiom (system of presumption) must be consistent. Decision making must obey on the axiom.,“Rationality does not say that the individuals actual goals are rational in some larger ethical, social, or human sense.,One-to-one,合理的,Friedman, M., 1953. Essays in Positive
8、Economics. The University of Chicago Press,With regard to this matter, Friedmans as-if hypothesis (Friedman, 1953) may provide great help. He asserts that a theory is useful when its objects behave as if they follow the theory. He explains this assertion by providing the example of the law of fallin
9、g bodies in physics. The distance traveled by a falling body, s (in feet), in any specified time, t (in seconds), is given by the well-known formula: s =gt2, where g is the acceleration of a body dropped in a vacuum, which is constant. Since g is a value under a vacuum, the formula assumes a vacuum.
10、 However, in the actual atmosphere, bodies fall as if the formula were valid. With regard to this aspect, he provides the following explanation. under a wide range of circumstances, bodies that fall in the actual atmosphere behave as if they were falling in a vacuum. The formula is accepted because
11、it works, not because we live in an approximate vacuum whatever that means.,Friedmans as-if hypothesis,Choice of rules,Rationality without Uncertainty,Homo Economicus and Real People,The assumption of Homo economicus can and should be simply a preliminary step on the road to a more sophisticated mod
12、el.,Homo economicus,Well-being is defined by the utility function Maximizes the utility function, given perceived opportunities.,Homo economicus tries to attain very specific and predetermined goals at minimal cost.,For alternatives a, b S choice set u(a) u(b) a b where shows preference order.,Axiom
13、s of preference order,If the set of alternatives, S, is not finite and non-countable, then additional axioms are required for a utility function to exist: (1) The relation is reflexive: a a (2) The relation is transitive: a b and b c then a c. (3) The relation is complete: for all a and b in S, a b
14、or b a or both. (4) The relation is continuous (if S is a topological space, then for each point x in S, the set of points that are strictly preferred to x and the set of points that x is strictly preferred to are both open).,NOTICE: (i) Together with reflexivity this means it is a preorder (ii) Com
15、pleteness implies reflexivity. (iii) Continuity implies no-satiation.,continuity,Proceedings of the National Academy of Sciences of the United States of America September 7, 2010, Early Edition,Emotional Well-Being emotional quality joy; stress; sadness; anger Life Evaluation what is your life? Both are not correlated. High income buys life-satisfaction, but not happiness.,Emotional Well-Being,Life Evaluation,Satiation of Emotional Well-Being,Expected Utility Theory,Kahneman, D., and A. Tversky, A., (1979),. “Prospect Theory: An Analysis of Decision under Risk,”. Econometrica 47, pp.263-292.,
