《行为金融学入门》井泽教授LectureRationality.ppt

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1、FromtheviewpointoftheExpectedUtilityTheoryBehavioralFinanceOutline1-1.RationalityinEconomicTheory1-2.RationalitywithoutUncertainty:HomoEconomics2-1.RationalityunderUncertainty:ExpectedUtilityTheory2-2.IrrationalityunderUncertainty3-1.AxiomaticsystemsoftheE

2、xpectedUtilityTheory3-2.ExperimentalTestsoftheExpectedUtilityTheory4-1.RiskpreferenceandCertaintyEquivalent4-2.HowtoMeasureRiskPreference:BDMMethod5-1.SubjectiveProbabilityintheExpectedUtilityTheory5-2.ElicitationofSubjectiveProbability6-1.PortfolioSelecti

3、onTheory6-2.PortfolioSelectionandNon-ExpectedTheoryOUTLINEArewerationalaseconomistspresume?Isyourdecisionmakingdifferent,underorwithoutuncertainty?“Greedisgood,”yelledMichaelDouglasinthemovieWallStreet(1987).But,arewereallysogreed,andselfish?Instructionoft

4、hegameResponderProposerPerfectstrangers$5isgiventobothHowmuchdoyoutakefrom$5?Therestof$5Doyouaccept?Ifyes,thentheproposalwillberealized.Ifno,thenbothwillgetnothing.TheUltimatumGameYouGet$（A-B）TheOtherGet$BTheOtherAnonymousBothGetNothingDecide$B$Arejectacce

5、ptIfyouandtheothersubjectarerational,youshouldgivetheminimumamount(say,1cent),andtheothershouldacceptit.Gambler'sfallacyHeads？orTails？NowLet’sPlay！１００万円１１０万円９０万円１００万円１２０万円８０万円７０万円１３０万円１１０万円９０万円１００万円１２０万円１４０万円６０万円８０万円１４６４１Doyouunderstandthefairness?RandomWa

6、lk“Fair”means“unpredictableforanyone”.TheBankofSwedenPrizeinEconomicSciencesinMemoryofAlfredNobel2002DanielKahnemanVernonL.SmithLessonsfromthegamesMancannotlivebymoneyalone.Wehavethesenseoffairness.Weliveinthemixtureofaltruismandself-interest.Cognitiveabil

7、ityofriskanduncertaintyisbounded.Wecanbeinconsistentintheperceprionofriskunduncertainty.superstructurePERSON&SOCIRTYECONOMICSYSTEMbasestructureConventionalviewofeconomicsBehavioralApproachPERSON&SOCIRTYECONOMICSYSTEMANDWearenotcomputers….Whatis“rational”?D

8、oyouwantthemoremoney?Doyouwantonlythemoremoney?Youhaveinterestinmoney.Youhavenotinterestonlyinmoney.Youhaveinterestinmoney.Youhaveinterestonlyinmoney.Issueofchoiceamongaxioms(systemsofpresumptions)consistentc