基于博彩实证的前景理论价值函数分析

An Analysis on the Value Function of the Prospect Theory Based on the Gambling Empirical Data

前景理论对赌博、保险行为的解释主要依赖于权重函数,而一些研究对权重函数及累积前景理论提出有力质疑,这表明问题的关键可能在于价值函数。为此,本文以福彩为实证研究对象,针对前景理论的相关理论逻辑,对价值函数的形态展开实证分析。实证研究的结果表明,价值函数曲线不是简单的S型,而是存在多次反转,类似于前景理论S型价值函数和Markowitz通用财富理论效用函数的一种混合结构,这意味着风险态度会随着损益额的增长而出现多次反转。

Prospect Theory mainly depends on insurance, but some research results raise important Prospect Theory, this also meahs that the S -shaped the weight function to explain the behavior of gambling and questions about the weighting function and the Cumulative value function is inaccurate. Therefore, this paper analyzes the value function based on a gambling empirical study whose research object is the lottery. Empirical study shows that the value function curve is not a simple S - shaped , there are many reversals, which is similar to a hybrid structure of the S - shaped value function of Prospect Theory and the utility function of Markowitz Custom- ary Wealth Theory. This means that the risk attitude would appear multiple inversions along with the expansion of profit or loss.