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題名:修正性期望效用理論之建立及其在個人投資決策上之應用
作者:林宏諭
作者(外文):Hung-Yue Lin
校院名稱:淡江大學
系所名稱:管理科學學系
指導教授:盛慶
學位類別:博士
出版日期:1999
主題關鍵詞:期望效用理論風險最低生活所需資本限額決策等比例風險規避函數總財富觀點一般操作點expected utility theoryriskminimum life necessity valuecapital rationingdecisionconstantly-proportional risk-averse utility functiontotal wealth position conceptnormal operation point
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雖然,傳統期望效用理論是無法完整描述人類決策行為,且在扮演處方性模式角色時,也無法提供決策者一清楚的操作定義,以成為有效且完整的風險投資決策評估工具,但仍是最被廣泛接受的規範性決策模式。不論是從敘述性或處方性模式的角度來看,本文都認為在扮演一個有效的個人投資決策模式的評估工具方面,應加以修正。本文由文獻探討與實證研究兩部分,以傳統期望效用理論為基礎,提出幾個進行風險決策方面的新觀念,並將這些觀念轉化成模式變數,結合傳統期望效用理論中著名的「等比例風險規避函數」,而形成一基數型態的修正性效用函數。在一風險決策情境中,只要決策者掌握自己的決策變數,如總財富、資本限額、融資額度與風險規避程度等,便可以得到決策者面臨特定決策的效用函數,進行評估各種風險性方案。同時,使用本文所提出的模式,也可用來解釋許多的矛盾現象,而擴大傳統期望效用理論的解釋性。
The traditional expected utility theory has been the most widely accepted normative decision making model even though it cannot serve as a comprehensive descriptive model, nor a prescriptive model for lacking of a clear operative definition for people to adopt at a risky decision making situation. Therefore, we believe that revisions should be made to the theory so that it can become a comprehensive and effective decision making model for the individuals. Through our literature review and empirical studies, several new concepts were proposed and even converted into the parameters of the constantly-proportional risk-averse utility function of the traditional expected utility theory to come up with a revised expected utility function in cardinal form. By understanding his own decision parameters e.g. the total wealth, the minimum life necessity value, the capital rationing, the credit line and risk adverse degree, a decision maker can derive his utility function at a certain decision making situation to evaluate all alternatives. Meanwhile, our proposed revised model also helps strengthen the interpretation power of the traditional expected utility theory for paradoxes.
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