面向动态风险评价及投资决策的IRRV模型

发布时间：2018-06-27 10:10

本文选题：时间-概率权衡 + 风险-价值权衡　；参考：《中国管理科学》2008年06期

【摘要】：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。
[Abstract]:An inter-temporal relative Risk-Value (IRRV) model is established, which integrates time-probability trade-off and risk-value trade-off for the first time. Based on the preference axiom, the explicit expression of time-probability tradeoff relation is derived for complex risk events with non-negative results. The intuitive thought of "psychological distance" is rooted in the inherent uncertainty of time. Finally, the intertemporal impact on the utility of decision makers is characterized by the intrinsic discount rate on time. The intrinsic discount rate depends on the time preference of the decision maker and may also depend on the quantity of the result, which is the core factor to determine the time-probability tradeoff. With the help of time-probability tradeoff theory, the relative risk- value model in the static sense is extended to the intertemporal relative risk- value model in the dynamic sense. The model considers three basic decision dimensions of value, time and probability in the same space, and provides a normative framework for dynamic risk decision making.
【作者单位】：湖南大学工商管理学院;
【基金】：国家杰出青年科学基金资助项目(70825006) 国家自然科学基金资助项目(70471030)
【分类号】：C934;F224

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