面向动态风险评价及投资决策的IRRV模型

An IRRV Model for Dynamic Risk Evaluation and Investment Decision-Making

建立了跨期相对风险-价值(Inter-temporal Relative Risk-Value,简称IRRV)模型,首次整合了时间-概率权衡与风险-价值权衡。面向结果非负的复杂风险事件,在偏好公理的基础上推导出时间-概率权衡关系的显性表达式,将时间具有内在不确定性这一植根于"心理距离"的直觉思想形式化,最终用关于时间的内在折扣率刻画跨期对决策者效用的影响。内在折扣率取决于决策者的时间偏好,也可能依赖结果的量值,是决定时间-概率权衡的核心因素。借助时间-概率权衡理论,将静态意义上的相对风险-价值模型扩展成为动态意义上的跨期相对风险-价值模型。该模型在同一个空间内综合考虑了价值、时间和概率三个基本的决策维度,为动态风险决策提供了一个规范化框架。

An Inter-Temporal Relative Risk-Value（IRRV） model, integrating time-probability tradeoff and risk-value tradeoff, is proposed. For complex risky events with nonnegative outcomes, an explicit formula of time-probability tradeoff is derived based on some preference axioms, which formalizes the ＂psychological distance＂ -based intuition that the time is intrinsically uncertain and the inter-temporal effect on utility is captured by an intrinsic time discount rate. This intrinsic discount rate, serving as a core factor of time- probability tradeoff, is mainly determined by decision-maker＇s time preference and probably depends on the magnitude of outcomes. Based on the time-probability tradeoff, this paper extends the static relative risk-value model to a dynamic IRRV model. This model synthesizes three fundamental decision-making dimensions, namely value, time and probability under a common state space and provides a normative framework for dynamic risk evaluation and investment decision.