背景风险下基于随机占优准则的预防性支付决策行为研究

发布时间：2017-12-31 03:02

本文关键词：背景风险下基于随机占优准则的预防性支付决策行为研究　出处：《华中科技大学》2016年博士论文　论文类型：学位论文

【摘要】：无论居民的生活、企业的生存还是整个社会的持续发展等都面临着未来风险的威胁。为了尽量避免未来风险可能造成的影响,决策者不得不在当前的成本付出与未来生存环境改善之间进行权衡取舍,从而不断地进行着储蓄、保险、自我保护等各种方式的预防性风险决策活动。自从上世纪六七十年代,预防性储蓄等金融经济问题的分析则激发了一系列有关预防性决策行为的理论研究；近来,决策环境中背景风险的引入及高阶风险厌恶行为的相关探讨则极大地丰富了这类研究。本文便在两维框架下构建了一般化的两期预防性支付决策模型。众所周知,真实的决策环境中常常存在多个风险,因此本文使用了随机占优准则来刻画边际支付所导致的未来风险分布更新方式,并用该准则来度量风险的“好"“坏"变化,进而在预防性支付模型里中分析了背景风险的引入和弱化对最优决策行为的影响,从而运用高阶风险厌恶行为阐释了背景风险下最优预防性支付水平变化的内在机制。其中,为了试图澄清高阶风险厌恶行为及背景风险的呈现对预防性支付水平的联合效应,本文对风险厌恶、风险谨慎、风险节制等不同高阶风险厌恶行为特性之间的联系进行了分析。一些学者认为风险厌恶、谨慎等这些不同的偏好行为之间是独立的；但也有很多学者认为这些高阶风险厌恶行为之间并非独立,而是具有内在一致性。本文揭示了不仅风险厌恶型的决策者,风险喜好型的决策者也可能是风险谨慎的,因此,风险谨慎是比风险厌恶更一般化的偏好行为；而且用S型效用函数来刻画风险谨慎型决策者的偏好特性可能是更合理的。在整个分析的过程中,本文把“风险分配"理论同Topkis定理等单调比较静态方法结合起来对预防性支付行为进行了探讨,从而克服了模型非凹性在研究方法上给理论分析带来的困难。本文发现,不管决策者是全局风险厌恶的,还是全局风险喜好的,或者是局部风险厌恶的,发生在第一期的背景风险都将减少混合谨慎决策者的最优预防性支付水平；发生在第二期的背景风险则将增加混合谨慎决策者的最优预防性支付水平。而且,如果当前的边际支付是在高阶随机占优意义下更新第二期财富风险的随机分布时,那么发生在第二期的背景风险高阶随机占优弱化对预防性支付水平的影响则取决于高阶混合风险厌恶行为。进而,基于所得结论,本文把所构建的预防性支付模型应用到预防性储蓄、预防性努力、管理动机等具体问题的探讨中,从而在决策者是非全局风险厌恶型的,未来风险分布并不一定服从二项分布等一般化的情形下考察了各种预防性决策行为的变化。总之,在不确定性下的金融经济决策分析中,预防性支付决策行为的研究需要进一步的深入拓展。因此,本文便在背景风险引入和弱化下,基于随机占优准则,应用高阶风险厌恶行为阐释了预防性支付决策行为的变化机制。尤其是,本文的分析抛弃了已有文献资料中为了保证决策模型的凹性而给定的风险厌恶、凹的损失概率等严格的假设,因此本论文一般化的拓展了储蓄、自我保护、管理动机等具体的金融经济决策问题的分析。
[Abstract]:No matter the lives of the residents, the survival of the enterprise or the whole society sustainable development are faced with the risk of future threats. In order to avoid the impact of future risks, policymakers have to pay the cost in the current and future environment to improve the trade-off between the homes, to continue to carry out the savings, insurance, self protection etc. all kinds of preventive risk decision-making activities. Since the last century in 60s and 70s, theoretical analysis of precautionary savings and financial and economic problems are aroused a series of relevant preventive decision behavior; in recent years, related to the background of risk in decision-making environment and introducing higher order risk aversion behavior is greatly enriched this kind of research in the two dimension. This paper constructs a general framework of two preventive payment decision model. As everyone knows, the real decision-making environment often has more than one The risk, so we use stochastic dominance rules to describe the marginal payment caused by the risk of future distributed update methods, and use the standard to measure the risk of "good" and "bad" changes, and in the prevention of payment model in analyzing the background and the introduction of risk weakening effect on the optimal decision-making behavior, and use high order risk aversion behavior explains the optimal background risk preventive mechanism of payment level changes. Among them, in order to present the high order to clarify the risk aversion behavior and background risk to the combined effect of preventive level of payment, the risk aversion, prudent risk, analyzed the risk control between different high risk aversion the behavior of contact. Some scholars believe that the risk aversion, etc. these different preferences between cautious behavior is independent; but there are also many scholars believe that these high Jiefeng risk aversion Behavior is not independent, but has internal consistency. This paper reveals not only the risk averse decision makers, risk loving policymakers may also be prudent risk, therefore, risk caution is more general than the risk aversion preference behavior; preference characteristics and S utility function to describe the risk of cautious decision who can be more reasonable. In the whole process of analysis, this paper put the theory with the Topkis theorem of monotone comparative static method of risk allocation "combined to prevent the behavior payment are discussed, in order to overcome the non concavity model to the theoretical analysis the difficulties in research methods. The paper found that, regardless of the decision is the global risk aversion, or global risk appetite, or local risk aversion, occurred in the first phase of the background risk will reduce optimal preventive cautious decision makers The level of payment; occurs in the second period of background risk will increase the optimal mixed cautious decision makers preventive pay level. Moreover, if marginal pay current is randomly distributed in the high wealth risk update second order stochastic dominance sense when it occurred in the background of risk high order stochastic dominance second period to prevent weakening effect of payment level depends on the high order mixed risk aversion behavior. Then, based on the conclusions, this paper put the precautionary payment model is applied to the precautionary savings, preventive efforts, explore the management motivation and other specific issues, resulting in the decision maker is a non global risk aversion, risk distribution in future do not necessarily obey the two distribution general situation were investigated preventive decision behavior. In short, the economic analysis of financial decision-making under uncertainty, preventive support Study on the pay decision behavior needs to further expand. Therefore, this paper is in the background and weaken the risk of introducing under stochastic dominance rules based on the application of high order risk aversion behavior explained the change mechanism of preventive pay decision-making behavior. Especially, this paper abandons the existing literature in order to ensure the decision model of concave given the risk aversion hypothesis, the loss probability is strictly concave, so this paper generalized the expansion of savings, self protection, financial and economic analysis decision problem specific management motivation.

【学位授予单位】：华中科技大学
【学位级别】：博士
【学位授予年份】：2016
【分类号】：F224;F126.1

【相似文献】