《行为金融学入门》井泽教授Lecure Raionaliy

FromtheviewpointoftheExpectedUtilityTheoryBehavioralFinanceOutline1-1.RationalityinEconomicTheory1-2.RationalitywithoutUncertainty:HomoEconomics2-1.RationalityunderUncertainty:ExpectedUtilityTheory2-2.IrrationalityunderUncertainty3-1.AxiomaticsystemsoftheExpectedUtilityTheory3-2.ExperimentalTestsoftheExpectedUtilityTheory4-1.RiskpreferenceandCertaintyEquivalent4-2.HowtoMeasureRiskPreference:BDMMethod5-1.SubjectiveProbabilityintheExpectedUtilityTheory5-2.ElicitationofSubjectiveProbability6-1.PortfolioSelectionTheory6-2.PortfolioSelectionandNon-ExpectedTheoryOUTLINEArewerationalaseconomistspresume?Isyourdecisionmakingdifferent,underorwithoutuncertainty?“Greedisgood,”yelledMichaelDouglasinthemovie

WallStreet(1987).

But,arewereallysogreed,andselfish?InstructionofthegameResponderProposerPerfectstrangers$5isgiventobothHowmuchdoyoutakefrom$5?Therestof$5Doyouaccept?Ifyes,thentheproposalwillberealized.Ifno,thenbothwillgetnothing.TheUltimatumGameYouGet$（A-B）TheOtherGet

$BTheOtherAnonymousBothGetNothingDecide$B$ArejectacceptIfyouandtheothersubjectarerational,youshouldgivetheminimumamount(say,1cent),andtheothershouldacceptit.Gambler'sfallacyHeads？orTails？NowLet’sPlay！１００万円１１０万円９０万円１００万円１２０万円８０万円７０万円１３０万円１１０万円９０万円１００万円１２０万円１４０万円６０万円８０万円１４６４１Doyouunderstandthefairness?RandomWalk

“Fair”means“unpredictableforanyone”.TheBankofSwedenPrizeinEconomicSciencesinMemoryofAlfredNobel2002DanielKahneman

VernonL.Smith

LessonsfromthegamesMancannotlivebymoneyalone.Wehavethesenseof

fairness.Weliveinthemixtureofaltruismandself-interest.Cognitiveabilityofriskanduncertaintyisbounded.Wecanbeinconsistentintheperceprionofriskunduncertainty.superstructurePERSON&SOCIRTYECONOMICSYSTEMbasestructureConventionalviewofeconomicsBehavioralApproachPERSON&SOCIRTYECONOMICSYSTEMANDWearenotcomputers….Whatis“rational”?Doyouwantthemoremoney?Doyouwantonlythemoremoney?Youhaveinterestinmoney.Youhavenotinterestonlyinmoney.Youhaveinterestinmoney.Youhaveinterestonlyinmoney.Issueofchoiceamongaxioms(systemsofpresumptions)consistentconsistentRationalityAaxiom(systemofpresumption)mustbeconsistent.Decisionmakingmustobeyontheaxiom.“Rationality"doesnotsaythattheindividual'sactualgoalsare"rational"insomelargerethical,social,orhumansense.AxiomChoiceAxiomChoiceunobservableobservableRationalchoice(predictable)LawofeconomicsstateOne-to-one合理的Friedman,M.,1953.EssaysinPositiveEconomics.TheUniversityofChicagoPressWithregardtothismatter,Friedman’sas-ifhypothesis(Friedman,1953)mayprovidegreathelp.Heassertsthatatheoryisusefulwhenitsobjectsbehaveasiftheyfollowthetheory.Heexplainsthisassertionbyprovidingtheexampleofthelawoffallingbodiesinphysics.Thedistancetraveledbyafallingbody,s(infeet),inanyspecifiedtime,t(inseconds),isgivenbythewell-knownformula:s=½gt2,wheregistheaccelerationofabodydroppedinavacuum,whichisconstant.Sincegisavalueunderavacuum,theformulaassumesavacuum.However,intheactualatmosphere,bodiesfallasiftheformulawerevalid.Withregardtothisaspect,heprovidesthefollowingexplanation.···underawiderangeofcircumstances,bodiesthatfallintheactualatmospherebehaveasiftheywerefallinginavacuum.···Theformulaisacceptedbecauseitworks,notbecauseweliveinanapproximatevacuum—whateverthatmeans.Friedman’sas-ifhypothesisChoiceofrulesAxiomAxiomChoiceα１－αNotrational,butstillmayremainpredictable.stateRationalitywithoutUncertaintyHom牲oE少con溪omi粱cusand勿Re蚊al范Peo食pleHomoEconomicus(TraditionalEconomics)RealPeople(BehavioralEconomics)MaximizetheirownutilityBoundedself-interest.Mostpeoplecare,oractasiftheycare,aboutothers,even

strangers,insomecircumstances.Stablesetofpreferences(consistency)Boundedwillpowerhumanbeingsoftentakeactionsthattheyknowtobeinconflictwiththeirownlong-terminterestsPerfectcomputation,andutilizeinformationperfectly.Consistentassessment.Boundedrationalityhumancognitiveabilitiesarenotinfinite.Wehavelimitedcomputationalskillsandseriouslyflawedmemories.The筐as准sum窄pti周on翻ofHom责oe钟con绣omi馒cuscan济and隐shou讽ldb携esi姑mply泻ap写reli庸mina耍rys袭tep钟ont笼her香oad逐toa院mor叙eso园phis腾tica夸ted骡mode牌l.Hom宿oe辰con煮omi斥cusWel命l-b递ein朝gi退sd谷efi摧ned滑by素th贫eutil纸ity涨func避tionMaxi非mize充st愈heu悬tili寒tyf郑unct麦ion,啄giv眉enp迎erce消ived版opp激ortu晓niti笑es.Hom傲oe骗con公omi怒cus智tr漆ies娱to贪at辈tai饲nv朝ery趴sp伏eci镜fic样an责dp勺red尺ete拉rmi强ned茫go宪als眼at的mi掘nim披al捷cos载t.For锁al针ter插nat泪ive掩sa,b∈Schoi组ce狂setu(a)≥u(b)↔a≿bwher饲e≿锐show只spre萝fer织enc件eo伞rde定r.Axio蹈mso俩fpr磨efer计ence行ord夕erIf极the倡se图to竟fa吗lte咽rna度tiv偶es,S,i揭sn毁ot搁fin疏ite丑an累dn干on-辩cou垂nta压ble呈,t辟hen掏ad重dit贝ion协al果axi拳oms互ar哗er沫equ番ire延df喷or役au丑til腰ity禁fu慕nct障ion鹅to亦ex帝ist欣:(1)敞Th娘er蒸ela爱tio教ni完srefl豆exiv史e:a≿a(2)即Th翁er限ela删tio网ni粗stra雀nsi心tiv有e:a≿bandb≿cthe凳na≿c.(3)妙Th奴er位ela董tio达ni颂scom椅ple伯te:fo猛ral呆laandbinS,a≿borb≿aorb蚀oth.(4)畅The庄rela徐tion旱iscon誓tin柱uou苍s(ifSis色at扣opo涛log叶ica君ls促pac栋e,蚊the码nf轧or理eac液hp焰oin换txinS,t逃he作set租of掉po染int除st抖hat葵ar故es夹tri麻ctl道yp嘱ref骗err遮ed鲜toxand谈th怪es永et帮of学poi歪nts伐th酬atxiss鹊tric聪tly忆pref我erre暑dto围are雪bot冬hop斜en).NOT瘦ICE始:(i)敌Toge首ther池wit采hre灿flex波ivit枣yth致ism钓eans坝it坦isa钉pre翼orde俘r(ii)唉Com舞plet族enes占sim械plie姜sre惜flex显ivit谢y.(iii倾)Co跨ntin永uity申imp项lies乌no-商sati剑atio扭n.xyy

≿

x

con湖tin圈uit飘yPro傅cee你din普gs陵of晃the耀Na腊tio陕nal川Ac汇ade阴my彻of矿Sci峰enc工esof闯the戏Un梅ite记dS执tat沿es常of嫂Ame德ric甲aSept脉embe略r7,瓜201钱0,E疾arly庙Edi趋tionEmo帝tio缘瑞nal菜We验ll-日Bei脖ngemot现iona这lqu巴alit牛yjoy;毫str熔ess;害sad汤ness盯;an摔ger…Lif秒eE前val浸uat狮ionwhat稳is些your仗lif菠e?Bot膛ha教re弦not食co含r