【主题】Probabilistic Spread in Compound Risk
【报告人】李志华，北京师范大学香港浸会大学联合国际学院，副教授
【地点】经济学院大楼701会议室
【语言】英文
【摘要】In decision under risk, risk aversion is traditionally explained by the marginal utility, and interpreted as the aversion to variance in the outcome dimension. With the development of NonExpected Utility models, it is now accepted that risk attitudes are embedded in both the outcome and the probability dimensions. Despite of many research efforts spent in understanding the risk attitudes in the outcome dimension and even deep investigation in the higher-order risk attitudes (prudence and temperance) in the outcome domain, little did we know about the preference towards the variance in the probability dimension. In this paper, we constructed a two-stage compound risk framework which allows us to study various formats of probabilistic variance in three aspects (mean, spread and skewness). Our results suggested that the lottery of small probabilistic spread is preferred, holding the mean of the probability distribution equal, and such preference gets weaker when the mean increases. The results also revealed that the preference favouring small-spread is, however, weakened when the large-spread probability distribution is positively skewed, which can be explained by the Skewed Noise model (Dillenberger and Segal, 2017). Overall, Recursive Rank Dependent Utility (RRDU) model fit our data better than the Recursive Expected Utility (REU) model, and both of them fit our data better than the models assuming Reduction of Compound Lottery. Furthermore, the results also shed lights on the interpretation of attitudes toward decision under ambiguity.
【报告人简介】李志华博士现任北京师范大学香港浸会大学联合国际学院（UIC）副教授。加入UIC之前，曾在2014年至2017年英国华威大学，2017年至2022年英国伯明翰大学任职。其研究探讨了决策理论之间的相互联系及其在行为经济学领域的实际应用。她的研究侧重于探索人们在实际生活中如何制定决策，探讨实际行为偏离规范性决策理论的预测的原因，并测试可能的心理渠道以引导经验决策行为更接近理性标准。研究成果发表于The Economic Journal，Management Science等学术期刊上。
