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基于差分的等级依赖效用模型行为决策权重扩展
引用本文:李伟兵,王金山,谢英超.基于差分的等级依赖效用模型行为决策权重扩展[J].经济数学,2015(1):89-94.
作者姓名:李伟兵  王金山  谢英超
作者单位:陆军军官学院 基础部,安徽 合肥,230031
摘    要:基于等级依赖期望效用模型(RDEU),提供了一个简单但有效的行为决策权重扩展。因结果序列具有直线增长趋势,介绍一种基于一阶差分的新权重,并证明其对拆分效应的有效性。差分权重和 RDEU 权重的凸组合构成最终决策权重命名为 D'-RDEU 权重,它不仅可继承 RDEU 的优点,也可克服 RDEU 的两个不足。特别是,它通过拆分获得随机优势,可从理论上解释拆分效应。也提供了连续形式的 D'-RDEU 模型,连续模型的存在证明 D'-RDEU 比 D-RDEU 更实用。

关 键 词:权重  等级依赖效用模型  差分  拆分效应  随机优势

An Extension of Behavioral Decision Weight in RDEU with First-order Difference
LI Wei-bing,WANG Jin-shan,XIE Ying-chao.An Extension of Behavioral Decision Weight in RDEU with First-order Difference[J].Mathematics in Economics,2015(1):89-94.
Authors:LI Wei-bing  WANG Jin-shan  XIE Ying-chao
Institution:(Dept. of Basic Theories, Army Officer Academy, Hefei, Anhui 230031, China)
Abstract:Based on the underlying rank-dependent expected utility (RDEU), we provide a simple but effective extension to the behavioral decision weight. As outcome series satisfies right a linear growth trend, we introduce a new type of weight based on first-order difference, and have proved its effectiveness on event-splitting effect. New weight and RDEU weight constitute final combined decision weight named D''-RDEU weight as final decision weight, which can not only inherit the advantages of RDEU but also can successfully overcome RDEU''s two stubborn issues. Especially, it can theoretically explain event-splitting effect by making event-splitting obtaining stochastic dominance. At last, we provide the continuous form of D''-RDEU model. The existence of continuous D''-RDEU proves D''-RDEU is more functional than D-RDEU.
Keywords:decision weight  RDEU  first-order difference  event-splitting effect  stochastic domi-nance
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