Comparative statics and portfolio choices under the phantom decision model
Comparative statics and portfolio choices under the phantom decision model
复制标题
幻象决策模型下的比较静态和投资组合选择
DOI：
10.1016/j.jbankfin.2017.07.001
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发表时间：
2017
影响因子：
3.7
通讯作者：
尾崎祐介
中科院分区：
文献类型：
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作者：
岩城秀樹;尾崎祐介
本研究刻画了Izhakian和Izhakian(2015)提出的幻影决策模型中对不确定性的态度，并进行了比较静态分析，以检验幻影不确定性和幻影厌恶的变化如何影响投资组合选择。首先，“幻影厌恶”和“更幻影厌恶”的定义不同于Izhakian和Izhakian(2015)。假设效用函数具有实现形式，则上述概念由它们的约化分量的形状来刻画。对于由一个安全资产和一个幻象资产组成的投资组合选择问题，我们得到了幻象不确定性和幻象厌恶的变化单调减少幻象资产投资的充分条件。将期望效用理论中的一些常见概念推广到幻影决策模型的框架中。
This study characterizes attitudes toward uncertainty in the phantom decision model introduced by Izhakian and Izhakian (2015) and conducts a comparative statics analysis to examine how changes in phantom uncertainty and phantom aversion affect portfolio choices. First, “phantom averse” and “more phantom-averse” are defined in a manner that differs from Izhakian and Izhakian (2015). Assuming that utility functions have realization forms, the above notions are characterized by the shapes of their reduction components. For the portfolio choice problem that consists of one safe asset and one phantom asset, we derive sufficient conditions under which changes in phantom uncertainty and phantom aversion monotonically decrease the investment in the phantom asset. Some familiar concepts in expected utility theory are extended to the framework of the phantom decision model.