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題名：風險決策行為之實驗研究
作者：蔡美華
作者(外文)：Mei-Hua Tsai
校院名稱：東吳大學
系所名稱：經濟學系
指導教授：樊沁萍
學位類別：博士
出版日期：2006
主題關鍵詞：預期效用理論；展望理論；效用函數；機率權重函數；expected utility theory；prospect theory；utility function；probability weighting function
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個人的風險決策行為一直是實驗經濟學家探索的主題，預期效用理論與展望理論是解釋個人決策行為的二個主要理論，然而預期效用理論與展望理論仍存爭辯，尤其是預期效用理論的獨立性公理受到最大的挑戰。本文設定二種效用函數及三種機率權重函數，以實驗資料估計各種函數設定下為個人決策行為選出最適的模型或理論，並估計個人的風險態度。實驗對象有大學生及青少年二個族群，大學生為東吳大學經濟系及法律系大學部學生，青少年為新竹市立三民國中二年級學生。2005年有33位大學生完成第一次的實驗，每一位受測者要完成120張彩券的決策，96張為正報酬彩券，24張為負報酬彩券。2006年有27位大學生完成第二次實驗，每一位受測者要完成108張彩券的決策，54張為正報酬彩券，54張為負報酬彩券。所有的實驗都以z-Tree軟體完成。
實驗結果發現，不管是正負報酬彩券的決策實驗都以展望理論解釋個人的決策行為較佳，效用函數的形式則呈現較多樣的變化。本文也比較青少年與大學生的風險態度，主要想了解青少年是否為高風險行為的族群，結果只在正報酬彩券的決策實驗呈現較明顯的結論。最後，為探討個人的決策行為模式是否呈現穩定的狀態，我們以2005年及2006年大學生的實驗追蹤資料，分析個人決策行為模式的變化。結果發現，個人的行為模式在模型一致性、理論一致性、效用函數一致性及風險態度一致性等四方面都呈現多樣性的變化，主要原因為2005年及2006年實驗設計的差異。實驗結果還發現女性的變化程度高於男性。
Decision-making under uncertainty attracts the research interests of many experimental economists. With a good experiment laboratory, it is now quite easy to gather enough data to run estimations for each single individual subject. In 2005, we designed lottery experiment with monetary rewards and recruited 33 undergraduate students in the Department of Economics and Law School of Soochow University, Taipei, Taiwan. The z-Tree program was employed to operate the experiment in the computer lab. Each subject made 120 pricing decisions, 96 positive reward lotteries and 24 negative ones. With these data, we are able to estimate, for each individual, utility functions and probability weighting functions. We tested for various functional forms of expected utility theory and prospect theory, both with individual data and group data. For both positive and negative reward lotteries, we find that PT could better explain our subject behavior. But the monetary utility function seems to have a quadratic form for positive reward lotteries and exponential form for negative reward lotteries.
However, for individual estimations to be meaningful we need to be assured that, at individual level, the behavior patterns have certain degree of stability. So in 2006, we design lottery experiment with monetary rewards and recruited 27 undergraduate students in the Department of Economics and Law School of Soochow University. Each subject made 108 pricing decisions, 54 positive and 54 negative reward lotteries. We estimate, for each individual, utility functions and probability weighting functions with this panel data design. We tested for various functional forms of expected utility theory and prospect theory. With this design, we try to answer the following question: in the individual level, do there really exist stable behavior patterns.
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