《行为金融学入门》井泽教授Lecture 1 Rationality

FromtheviewpointoftheExpectedUtilityTheoryOutline1-1.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-ExpectedTheoryOUTLINE1.Arewerationalaseconomistspresume?2.Isyourdecisionmakingdifferent,underorwithoutuncertainty?“Greedisgood,”yelledMichaelDouglasinthemovieWallStreet(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-400-300-200-1000100200300400500“Fair”means“unpredictableforanyone”.TheBankofSwedenPrizeinEconomicSciencesinMemoryofAlfredNobel2002DanielKahnemanVernonL.SmithLessonsfromthegamesMancannotlivebymoneyalone.Wehavethesenseoffairness.Weliveinthemixtureofaltruismandself-interest.Cognitiveabilityofriskanduncertaintyisbounded.Wecanbeinconsistentintheperceprionofriskunduncertainty.superstructurePERSON&SOCIRTYECONOMICSYSTEMbasestructureConventionalviewofeconomicsBehavioralApproachPERSON&SOCIRTYECONOMICSYSTEMANDWearenotcomputers….Whatis“rational”?Doyouwantthemoremoney?Doyouwantonlythemoremoney?Youhaveinterestinmoney.Youhavenotinterestonlyinmoney.Youhaveinterestinmoney.Youhaveinterestonlyinmoney.Issueofchoiceamongaxioms(systemsofpresumptions)consistentconsistentRationalityAaxiom(systemofpresumption)mustbeconsistent.Decisionmakingmustobeyontheaxiom.“Rationalitydoesnotsaythattheindividual'sactualgoalsarerationalinsomelargerethical,social,orhumansense.AxiomChoiceAxiomChoiceunobservableobservableRationalchoice(predictable)LawofeconomicsstateOne-to-oneFriedman,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.stateRationalitywithoutUncertaintyHomoEconomicusandRealPeopleHomoEconomicus(TraditionalEconomics)RealPeople(BehavioralEconomics)MaximizetheirownutilityBoundedself-interest.Mostpeoplecare,oractasiftheycare,aboutothers,evenstrangers,insomecircumstances.Stablesetofpreferences(consistency)Boundedwillpowerhumanbeingsoftentakeactionsthattheyknowtobeinconflictwiththeirownlong-terminterestsPerfectcomputation,andutilizeinformationperfectly.Consistentassessment.Boundedrationalityhumancognitiveabilitiesarenotinfinite.Wehavelimitedcomputationalskillsandseriouslyflawedmemories.TheassumptionofHomoeconomicuscanandshouldbesimplyapreliminarystepontheroadtoamoresophisticatedmodel.Homoeconomicus(1)Well-beingisdefinedbytheutilityfunction(2)Maximizestheutilityfunction,givenperceivedopportunities.Homoeconomicustriestoattainveryspecificandpredeterminedgoalsatminimalcost.Foralternativesa,b∈Schoicesetu(a)≥u(b)↔a≿bwhere≿showspreferenceorder.AxiomsofpreferenceorderIfthesetofalternatives,S,isnotfiniteandnon-countable,thenadditionalaxiomsarerequiredforautilityfunctiontoexist:(1)Therelationisreflexive:a≿a(2)Therelationistransitive:a≿bandb≿cthena≿c.(3)Therelationiscomplete:forallaandbinS,a≿borb≿aorboth.(4)Therelationiscontinuous(ifSisatopologicalspace,thenforeachpointxinS,thesetofpointsthatarestrictlypreferredtoxandthesetofpointsthatxisstrictlypreferredtoarebothopen).NOTICE:(i)Togetherwithreflexivitythismeansitisapreorder(ii)Completenessimpliesreflexivity.(iii)Continuityimpliesno-satiation.xyy≿xcontinuityProceedingsoftheNationalAcademyofSciencesoftheUnitedStatesofAmericaSeptember7,2010,EarlyEditionEmotionalWell-Beingemotionalqualityjoy;stress;sadness;anger…LifeEvaluationwhatisyourlife?Botharenotcorrelated.Highincomebuyslife-satis