前景理论模型的拓展与修正研究

【作者】 王平；

【导师】 徐选华； 饶育蕾；

【作者基本信息】 中南大学 ， 管理科学与工程， 2005， 硕士

【摘要】 风险或者不确定性条件下的决策是近几个世纪以来经济管理领域中一个非常热门的研究方向,而其中的前景理论是一个具有重大影响力的描述风险下决策过程的模型。 此文是对前景理论的拓展和修正研究。首先文章对决策理论的发展历程作了简单的介绍,并在此基础上对前景理论的研究文献作了综述和简要的评价,然后是详细的介绍了原始前景理论,其中包括价值函数、权重函数、参考点等几个核心内容;以及Tversky和Kahnman于1992年在原始前景理论的基础上发展而得的累计前景理论,且对前景理论的局限性进行了阐述。在详细的介绍前景理论之后,本文分别对价值函数、权重函数、价值权重和权重函数的引出方法以及价值函数与权重函数相互对抗下风险态度的决定作了探讨。 对价值函数的研究主要是以心理学实验结果为依据把心理账户概念引入到编码过程从而形成相对编码,并以相对编码为对象构建新的决策价值函数,以达到消除个人财富水平对价值函数形状的影响的目的,从而提高新的决策价值函数的解释力;对权重函数的研究分成两个部分,一个是对权重函数中敏感性递减规律的探讨,文章认为概率0.5亦是一个敏感性递减的端点,并以此为基础对权重函数的形状提出了建议,另一个就是把时间因素引入到权重函数,使得权重函数能够捕捉到决策者的时间偏好,文章在忧虑模型的基础上,把考虑时间因素的新模型拓展到了Gonazlez和Wu(1998)提出的权重函数形更多还原

【Abstract】 Dicision-Making under risk or uncertaity is a very pop issue of study during recent several centuries in the field of economics and management, and thereinto Prospect Theory is a very important descriptive model about decision-making under risk.This paper is a further study about Prospect Theory, and the purpose is to modify and extend it. Firstly, this paper simply introudces the development course of decision-making theory, then has a literature reviwe and a brief comment about PT. Secondly this paper introduces the PT and CPT in detail, including several kernelly content such as value funciton、 weighting function、 reference point, and then expounds the limitation of PT. After that, this paper makes further discussion respectively about value function、 weighting functio、 elictation method of value function and weighting function、 determination of risk attitude when there exist rivalry between value function and weighting function.In order to eliminate the influence which is imposed on the shape of value function by the personal wealth level, according to the conclusion of psychology experiment, the study about value function constructs the relative code through incoporating the mental account into code, and form the new decision-making value function, the result is that the capable of explanation of the new decision-making value function has been inproved. The study about weighting function is splited into two parts; one is descusion about sensitivity descending of weighting function, this paper think that the probability 0.5 also is a special point in aspect of sensitivity descending and gives some advice about shape of weighting function based on it. In order to let PT catch decision-maker’s preference of time, another part is to incorporate the factor of time into the weighting function; the new model which includes factor of time is extended toGonzalez and Wu’s form of weighting function. Lastly elicitation and decision of risk attitude are discussed; based on the introduce of eclitation method this paper develops a small system to test personal value function and weighting function so that the person can kown what characteristic his value function has and what the distributing characteristic of his weighting function is, and can make use of these information to guide decision-making and make decision-making more rational, furthermore, the determination of risk attitude is discussed when the value function is opposed to the weighting function, this paper finds that risk attitude isn’t determined solely by value function or weighting function, and is determined by common action of two functions.更多还原