圣彼得堡悖论新解——比例效用理论溯源经典

发布时间：2018-03-25 14:36

本文选题：圣彼得堡悖论　切入点：比例效用理论　出处：《西安交通大学学报(社会科学版)》2017年06期

【摘要】：回顾效用理论300年发展历程,一个被忽视百余年的经典决策机制再次呈现。为此,探索了该经典决策机制基础上的新决策理论体系,构建了一个新的风险资产定价模型,并且对圣彼得堡悖论作出了新的量化解释。初步得出以下结论:(1)个人的决策依据是财富增量与财富最终持有量的比值,即比例效用;(2)比例效用具有两个重要推论,即边际效用递减和损失厌恶;(3)比例效用没有下限;(4)投资者的初始财富数量越大,投资于风险资产的倾向越高;(5)投资者的经验越丰富,投资于风险资产的倾向越高;(6)独立评估圣彼得堡风险资产条件下,投资者的报价上限为1.5;(7)比例效用视角下,不会存在衍生的圣彼得堡悖论。
[Abstract]:Reviewing the development of utility theory for 300 years, a classical decision-making mechanism which has been neglected for more than 100 years is presented again. Therefore, a new decision theory system based on this classical decision mechanism is explored, and a new risk asset pricing model is constructed. A new quantitative explanation of St. Petersburg Paradox is given. The following conclusions are drawn: 1) the basis of individual decision is that the ratio of wealth increment to wealth final holding, that is, proportional utility has two important corollaries. That is, the ratio between diminishing marginal utility and loss aversion has no lower limit. (4) the greater the initial wealth of investors, the higher the tendency to invest in risky assets. The higher the propensity to invest in risky assets, the higher) under the condition of independent evaluation of St Petersburg risk assets, the upper limit of investors' quoted price is 1.5 / 7) under the perspective of proportional utility, there will be no derivative St. Petersburg paradox.
【作者单位】：东北财经大学国际商学院;
【基金】：辽宁省社会科学规划基金理论经济重点项目(L16AJL003)
【分类号】：F091.3

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