連續風險決策過程之研究：參考點轉移模型與資訊搜集機制

Sequential Risk Decision Process: Change in the Reference Point and Information Search Mechanism

盧奕賢(Yi-Hsien Lu)

指導教授 ： 黃貞穎

國立臺灣大學/社會科學院/經濟學研究所/碩士(2014年)

https://doi.org/10.6342/NTU.2014.00211

摘要

我們設計一個硬幣兌換實驗，紀錄受試者搜集資訊的行為並且探討不同的兌換歷程對於風險決策的影響。當兌換的次數增加時，受試者會傾向於選擇安全的決策。並且在遭遇損失後，比起得到獲益時受試者會傾向於選擇有風險的決策。傳統的期望效用理論和一些修正的效用理論(失望理論和後悔理論)都無法解釋這些行為，因此我們把希望放在展望理論。考慮參考點受到過去的經歷影響，我們設計一個參考點轉移模型，結果顯示我們的模型相較於其他理論來的更有效力。除此之外，我們發現受試者對於資訊的搜集是有效率的，即當現在的資訊足夠做出選擇時，就不會再多花力氣搜集未來的資訊。

關鍵字

參考點 ； 風險趨避 ； 損失趨避 ； 資訊搜集 ； 風險決策

並列摘要

We design a "Coin Exchange" experiment in which we record the behavior of information search and sequential decision-making under risk to investigate the effect of past information on current decision. Subjects tend to prefer safe choices when they had gone through more stages before reaching the current one. Furthermore, they are inclined to select a risky choice after suffering a loss compared with when they receive a gain. Expected utility theory and some further extensions such as the regret theory and the disappointment theory failed to explain these findings. We made use of the prospect theory to explain our data. When the reference point is path-dependent, we set up a model of how reference point might change to account for observed behaviors. The results suggest our model is better than the others. In addition, the information search pattern of subjects seems efficient, i.e., they stop collecting new information when they have accumulated enough to make the decision for the next step.

並列關鍵字

Reference Point ； Risk Aversion ； Loss Aversion ； Information Search ； Path-Dependent

參考文獻

Arkes, Hal R., David Hirshleifer, Danling Jiang and Sonya Lim. (2008). "Reference Point Adaptation: Tests in the Domain of Security Trading." Organizational Behavior and Human Decision Processes, 105, 67–81.

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Bell, David E. (1985). "Disappointment in Decision Making under Uncertainty." Operations Research, 33(1): 1-27.

Holt, Charles A. and Susan K. Laury. (2002). "Risk Aversion and Incentive Effects." American Economic Review, 92(5), 1644-55.

Johnson, Eric J. Colin F. Camerer, Sankar Sen and Talia Rymon. (2002). "Detecting Failures of Backward Induction: Monitoring Information Search in Sequential Bargaining," Journal of Economic Theory, 104(1), 16-47.