A parameter-free analysis of the utility of money for the general population under prospect theory
A parameter-free analysis of the utility of money for the general population under prospect theory
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DOI：
10.1016/j.joep.2009.05.004
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发表时间：
2009-08-01
影响因子：
3.5
通讯作者：
van de Kuilen, Gijs
中科院分区：
文献类型：
--
作者：
Booij, Adam S.;van de Kuilen, Gijs
大量的数据令人信服地表明，预期效用——理性决策的主流经济学理论——在描述性上是失败的。这种描述性的失败使人们对经典效用测量的有效性产生了怀疑。前景理论可以更好地解释选择行为，因为它做出了一个合理的假设，即风险态度不仅受对结果的敏感性（效用曲率）驱动，还受对概率的敏感性（概率权重）驱动，以及对结果高于或低于参考点的敏感性（损失厌恶）驱动。本文提出了一个实验，该实验完全测量了风险态度的效用和损失厌恶成分，使用N = 1935的普通公众受访者的代表性样本，以无参数的方式。因此，这项研究为一般人群提供了第一个在（累积）前景理论下有效的货币效用测量，它不依赖于对效用的潜在功能形式的先前假设，是外部有效的，并且不排除个人偏好的异质性。研究结果证实了前景理论所预测的效用凹凸模式，表明效用曲率没有经典效用测量所显示的那么明显，并且表明女性明显比男性更厌恶损失。(C) 2009 Elsevier B.V.版权所有
Extensive data has convincingly demonstrated that expected utility, the reigning economic theory of rational decision making, fails descriptively. This descriptive failure casts doubt on the validity of classical utility measurements. Prospect theory can better explain choice behaviour because it makes the plausible assumption that risk attitudes are not only driven by sensitivity towards outcomes (utility curvature), but also by sensitivity towards probabilities (probability weighting), and by sensitivity towards whether outcomes are above or below a reference point (loss aversion). This paper presents an experiment that completely measures the utility-and loss aversion component of risk attitudes, using a representative sample of N = 1935 respondents from the general public, in a parameter-free way. This study thereby provides the first measurement of the utility of money for the general population that is valid under (cumulative) prospect theory, does not depend on prior assumptions about the underlying functional form of utility, is externally valid, and does not rule out heterogeneity of individual preferences. The results confirm the concave-convex pattern of utility as predicted by prospect theory, suggest that utility curvature is less pronounced than suggested by classical utility measurements, and show that women are significantly more loss averse than men. (C) 2009 Elsevier B.V. All rights reserved.