《行為金融學入門》井澤教授Lecure Raionaliy

FromtheviewpointoftheExpectedUtilityTheoryBehavioralFinanceOutline1-1.RationalityinEconomicTheory1-2.RationalitywithoutUncertainty:HomoEconomics2-1.RationalityunderUncertainty:ExpectedUtilityTheory2-2.IrrationalityunderUncertainty3-1.AxiomaticsystemsoftheExpectedUtilityTheory3-2.ExperimentalTestsoftheExpectedUtilityTheory4-1.RiskpreferenceandCertaintyEquivalent4-2.HowtoMeasureRiskPreference:BDMMethod5-1.SubjectiveProbabilityintheExpectedUtilityTheory5-2.ElicitationofSubjectiveProbability6-1.PortfolioSelectionTheory6-2.PortfolioSelectionandNon-ExpectedTheoryOUTLINEArewerationalaseconomistspresume?Isyourdecisionmakingdifferent,underorwithoutuncertainty?“Greedisgood,”yelledMichaelDouglasinthemovie

WallStreet(1987).

But,arewereallysogreed,andselfish?InstructionofthegameResponderProposerPerfectstrangers$5isgiventobothHowmuchdoyoutakefrom$5?Therestof$5Doyouaccept?Ifyes,thentheproposalwillberealized.Ifno,thenbothwillgetnothing.TheUltimatumGameYouGet$（A-B）TheOtherGet

$BTheOtherAnonymousBothGetNothingDecide$B$ArejectacceptIfyouandtheothersubjectarerational,youshouldgivetheminimumamount(say,1cent),andtheothershouldacceptit.Gambler'sfallacyHeads？orTails？NowLet’sPlay！１００萬円１１０萬円９０萬円１００萬円１２０萬円８０萬円７０萬円１３０萬円１１０萬円９０萬円１００萬円１２０萬円１４０萬円６０萬円８０萬円１４６４１Doyouunderstandthefairness?RandomWalk

“Fair”means“unpredictableforanyone”.TheBankofSwedenPrizeinEconomicSciencesinMemoryofAlfredNobel2002DanielKahneman

VernonL.Smith

LessonsfromthegamesMancannotlivebymoneyalone.Wehavethesenseof

fairness.Weliveinthemixtureofaltruismandself-interest.Cognitiveabilityofriskanduncertaintyisbounded.Wecanbeinconsistentintheperceprionofriskunduncertainty.superstructurePERSON&SOCIRTYECONOMICSYSTEMbasestructureConventionalviewofeconomicsBehavioralApproachPERSON&SOCIRTYECONOMICSYSTEMANDWearenotcomputers….Whatis“rational”?Doyouwantthemoremoney?Doyouwantonlythemoremoney?Youhaveinterestinmoney.Youhavenotinterestonlyinmoney.Youhaveinterestinmoney.Youhaveinterestonlyinmoney.Issueofchoiceamongaxioms(systemsofpresumptions)consistentconsistentRationalityAaxiom(systemofpresumption)mustbeconsistent.Decisionmakingmustobeyontheaxiom.“Rationality"doesnotsaythattheindividual'sactualgoalsare"rational"insomelargerethical,social,orhumansense.AxiomChoiceAxiomChoiceunobservableobservableRationalchoice(predictable)LawofeconomicsstateOne-to-one合理的Friedman,M.,1953.EssaysinPositiveEconomics.TheUniversityofChicagoPressWithregardtothismatter,Friedman’sas-ifhypothesis(Friedman,1953)mayprovidegreathelp.Heassertsthatatheoryisusefulwhenitsobjectsbehaveasiftheyfollowthetheory.Heexplainsthisassertionbyprovidingtheexampleofthelawoffallingbodiesinphysics.Thedistancetraveledbyafallingbody,s(infeet),inanyspecifiedtime,t(inseconds),isgivenbythewell-knownformula:s=?gt2,wheregistheaccelerationofabodydroppedinavacuum,whichisconstant.Sincegisavalueunderavacuum,theformulaassumesavacuum.However,intheactualatmosphere,bodiesfallasiftheformulawerevalid.Withregardtothisaspect,heprovidesthefollowingexplanation.···underawiderangeofcircumstances,bodiesthatfallintheactualatmospherebehaveasiftheywerefallinginavacuum.···Theformulaisacceptedbecauseitworks,notbecauseweliveinanapproximatevacuum—whateverthatmeans.Friedman’sas-ifhypothesisChoiceofrulesAxiomAxiomChoiceα１－αNotrational,butstillmayremainpredictable.stateRationalitywithoutUncertaintyHom牲oE少con溪omi粱cusand勿Re蚊al范Peo食pleHomoEconomicus(TraditionalEconomics)RealPeople(BehavioralEconomics)MaximizetheirownutilityBoundedself-interest.Mostpeoplecare,oractasiftheycare,aboutothers,even

strangers,insomecircumstances.Stablesetofpreferences(consistency)Boundedwillpowerhumanbeingsoftentakeactionsthattheyknowtobeinconflictwiththeirownlong-terminterestsPerfectcomputation,andutilizeinformationperfectly.Consistentassessment.Boundedrationalityhumancognitiveabilitiesarenotinfinite.Wehavelimitedcomputationalskillsandseriouslyflawedmemories.The筐as準sum窄pti周on翻ofHom責oe鐘con繡omi饅cuscan濟and隱shou諷ldb攜esi姑mply瀉ap寫reli庸mina耍rys襲tep鐘ont籠her香oad逐toa院mor敘eso園phis騰tica夸ted騾mode牌l.Hom宿oe辰con煮omi斥cusWel命l-b遞ein朝gi退sd谷efi摧ned滑by素th貧eutil紙ity漲func避tionMaxi非mize充st愈heu懸tili寒tyf鄭unct麥ion,啄giv眉enp迎erce消ived版opp激ortu曉niti笑es.Hom傲oe騙con公omi怒cus智tr漆ies娛to貪at輩tai飼nv朝ery趴sp伏eci鏡fic樣an責dp勺red尺ete拉rmi強ned茫go憲als眼at的mi掘nim披al捷cos載t.For鎖al針ter插nat淚ive掩sa,b∈Schoi組ce狂setu(a)≥u(b)?a?bwher飼e?銳show只spre蘿fer織enc件eo傘rde定r.Axio蹈mso倆fpr磨efer計ence行ord夕erIf極the倡se圖to竟fa嗎lte咽rna度tiv偶es,S,i揭sn毀ot擱fin疏ite丑an累dn干on-辯cou垂nta壓ble呈,t辟hen掏ad重dit貝ion協(xié)al果axi拳oms互ar嘩er沫equ番ire延df噴or役au丑til腰ity禁fu慕nct障ion鵝to亦ex帝ist欣:(1)敞Th娘er蒸ela愛tio教ni完srefl豆exiv史e:a?a(2)即Th翁er限ela刪tio網ni粗stra雀nsi心tiv有e:a?bandb?cthe凳na?c.(3)妙Th奴er位ela董tio達ni頌scom椅ple伯te:fo猛ral呆laandbinS,a?borb?aorb蝕oth.(4)暢The莊rela徐tion旱iscon誓tin柱uou蒼s(ifSis色at扣opo濤log葉ica君ls促pac棟e,蚊the碼nf軋or理eac液hp焰oin換txinS,t逃he作set租of掉po染int除st抖hat葵ar故es夾tri麻ctl道yp囑ref騙err遮ed鮮toxand談th怪es永et幫of學poi歪nts伐th酬atxiss鵲tric聰tly憶pref我erre暑dto圍are雪bot冬hop斜en).NOT瘦ICE始:(i)敵Toge首ther池wit采hre燦flex波ivit棗yth致ism釣eans壩it坦isa釘pre翼orde俘r(ii)唉Com舞plet族enes占sim械plie姜sre惜flex顯ivit謝y.(iii傾)Co跨ntin永uity申imp項lies烏no-商sati劍atio扭n.xyy

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