安同学2019-11-11 20:23:01
安同学请问老师prospect theory, expected utility theory 和behavioral portfolio theory 的区别是什么？
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Peter F2019-11-12 11:16:19
Peter F同学，你好：
Kahneman and Tversky’s prospect theory explains apparent deviations in decision making from the rational decisions of traditional finance. These deviations result from overweighting low probability outcomes, underweighting moderate and high probability outcomes, and having a value function for changes in wealth (gains and losses) that is in general concave for gains, convex for losses, and steeper for losses than for gains.
As a result, people are risk-averse when there is a moderate to high probability of gains or a low probability of losses; they are risk-seeking when there is a low probability of gains or a high probability of losses. This is consistent with people simultaneously buying lottery tickets and insurance while investing money conservatively.（可以参看讲义上的 PPT 的图）
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Within prospect theory, loss aversion is proposed as an alternative to risk aversion.
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This implies that utility functions are concave and exhibit diminishing marginal utility. （可以参考 Utility Function of Wealth 这一页 PPT 上的图）
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Reading7的原版书后习题，第一题和第五题都提到了这三个theory，上面的解释仅仅针对prospect theory,其他两个理论expected utility theory和behaviral portfolio theory 怎么理解？
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同学，你好：expected utility—the weighted sum of the utility values of outcomes multiplied by their respective probabilities—subject to their budget constraints，即主观加权平均的 utility, behavioral portfolio theory is a goal-based theory，in behavioral portfolio theory, however, investors construct their portfolios in layers and expectations of returns and attitudes toward risk vary between the layers. The resulting portfolio may appear well-diversified, but diversification is incidental to and not necessarily an objective of the portfolio construction。
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