基于风险厌恶悖论的个体投资行为金融学实验研究

发布时间：2018-01-19 06:02

本文关键词： 风险厌恶悖论个体投资行为金融学实验个体特征因素　出处：《宁波大学》2014年硕士论文　论文类型：学位论文

【摘要】：关于微观个体的风险态度问题,我们最早可以追溯到有名的期望效用理论。但是期望效用函数仅用一个刻度来刻画人们的风险态度,即效用函数的凹凸性,这就导致它对风险态度的“一刀切”的问题。但是现实中我们常常发现人们对风险的态度并不总是厌恶的,一个理性经济人所具有的效用函数也不总是凹的。因此,学者们通过设计一系列的实验问题发现人们的态度、偏好、行为等并非是完全理性的,他们的风险态度以及决策行为经常系统性地违背期望效用理论的公理化体系,其中对期望效用理论构成了强有力挑战的是Kahneman和Tversky(1979)提出的前景理论,该理论是行为金融领域的经典理论,也是行为金融学的三大理论基石之一。本文题目中“风险厌恶悖论”的概念就是根据前景理论提出来的。行为金融学的核心创新点就是个体的非理性选择问题,在证券市场中表现为一定的投资行为偏差,并从现实的角度诠释了微观个体对待风险的态度,此外,该理论研究方法的特殊性在于将实验研究方法引入分析框架。因此,本文的实验研究内容就是通过设计一系列的实验问题,采用实验室实验方法从风险厌恶悖论的角度来检验个体被试者在投资决策过程中是否存在一定的行为偏差。本文进行的所有实验都是基于瑞士苏黎世大学开发的经济学实验软件Ztree(Fischbacher,2007),因为Ztree软件是目前在实验室研究中用到的最流行、合理且实用的一款专用系统软件。进一步地,根据实验中被试者行为偏差检验的实验研究数据,运用Logit模型对产生政策依赖、确定效应、损失厌恶和框架依赖等行为偏差的个体特征因素进行捕捉,以期找出个体明显的投资行为偏差存在与影响其存在明显投资行为偏差的个体特征因素之间的因果关系。最后,通过对具有特定投资行为个体的相关特征进行观测,以期对特定投资人群的金融产品设计及营销策略制定给出相关建议。
[Abstract]:With regard to the risk attitude of micro individuals, we can trace back to the famous theory of expected utility, but the expected utility function characterizes people's risk attitude with only one scale, that is, the concavity and convexity of utility function. This leads to a "one-size-fits-all" problem with risk attitudes, but in reality we often find that people's attitudes to risk are not always repugnant. The utility function of a rational economic man is not always concave. Therefore, through designing a series of experimental problems, scholars find that people's attitude, preference, behavior and so on are not completely rational. Their risk attitude and decision-making behavior often systematically violate the axiomatic system of expected utility theory. The prospect theory proposed by Kahneman and Tverskyn 1979 is a powerful challenge to the expected utility theory, which is a classical theory in the field of behavioral finance. It is also one of the three theoretical cornerstones of behavioral finance. The concept of "risk aversion paradox" in this paper is put forward according to the foreground theory. The core innovation of behavioral finance is the irrational choice of individual. In the stock market, there is a certain deviation of investment behavior, and from the perspective of reality, it explains the attitude of micro-individuals to risk, in addition. The particularity of the theoretical research method lies in the introduction of the experimental research method into the analytical framework. Therefore, the content of the experimental research in this paper is to design a series of experimental problems. The laboratory experiment method is used to test whether the individual subjects have some behavior deviation in the investment decision-making from the angle of risk aversion paradox. All the experiments in this paper are based on the University of Zurich, Switzerland. Economic experiment software Ztree(. Fischbacher. 2007, because Ztree software is the most popular, reasonable and practical special system software used in laboratory research. According to the experimental data of the subjects' behavior deviation test, the Logit model is used to capture the individual characteristic factors of behavioral deviation, such as policy dependence, deterministic effect, loss aversion and frame dependence. In order to find out the causal relationship between the existence of individual obvious investment behavior deviation and the individual characteristic factors that affect the existence of obvious investment behavior deviation. Finally. By observing the relevant characteristics of individuals with specific investment behaviors, the author hopes to give some suggestions on the design of financial products and the formulation of marketing strategies for specific investment groups.
【学位授予单位】：宁波大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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