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国际经济学workshop:Uncertainty Averse Mean Variance Utility
发布日期：2016-06-08 09:28 来源：北京大学国家发展研究院
Seminar on International Economics
时间：2016年6月8日（周三）10：30－12：00 am地点：北大国发院/中国经济研究中心512教室
主持人：余淼杰、余昌华
主讲人：Xiangyu Qu 瞿翔宇 University of Paris 2
题目：Uncertainty Averse Mean Variance Utility
摘要：Classical derivations of mean variance preferences have all relied upon the expected utility hypothesis. Some widespread experimental studies have uncovered that the expected utility model tends to be systematically violated in practice. Such findings would lead people to doubt the empirical relevance of the literature and the practical effectiveness of the portfolio selection which employ the mean variance model. In this paper, I postulate a set of axioms, in a setting of subjective uncertainty, and demonstrate that my axiom set implies that the investor assigns subjective probability to events and judges each portfolio solely on the basis of mean and variance of its implied distribution over returns, but does not rank portfolio according to the expected utility. This subjective mean variance model remains intact with a wide body of observed behavior under uncertainty, which are inconsistent with the hypothesis of expected utility maximization. In addition, the subjective probability is essentially non-normal, which ties together a wide body of empirical observations in finance.
The classic Mean variance utility of Markowitz has been widely used both in economics and finance. In recent years, this approach is heavily criticized both theoretically and empirically for at least two reasons. The first reason is that it displays increasing risk aversion, which is not a plausible assumption for individual behavior. The second reason is that expected utility hypothesis could not address the ambiguity aversion, which is frequently observed in practices.
This paper proposes a new model of decision under uncertainty deemed uncertainty averse mean variance utility, or UAMV, which can properly address the two problems above. In this model, an uncertain prospect, or Savage act, is assessed according to (a) a baseline expected utility evaluation, and (b) an adjustment that reflects the individual’s perception of ambiguity and her attitudes toward it. The adjustment is a function of the variance of its utility profile. The key elements of the UAMV model are a baseline probability and the adjustment variance, which represent individual’s attitude toward ambiguity. A behavioral characterization of the UAMVU model is provided.
主讲人简介：Xiangyu Qu 瞿翔宇现为University of Paris 2大学Research Fellow。瞿翔宇博士2012年博士毕业于Ohio State University. 其主要研究领域为微观经济理论、决策理论、博弈论和行为经济学。瞿翔宇博士已在Economic Theory, Journal of Mathematical Economics, Theory and Decision等国际著名期刊发表过数篇论文。
演讲者的CV请见附件 cv_qu201604 。
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国际经济学workshop:Uncertainty Averse Mean Variance Utility
发布日期：2016-06-08 09:28 来源：北京大学国家发展研究院
Seminar on International Economics
时间：2016年6月8日（周三）10：30－12：00 am地点：北大国发院/中国经济研究中心512教室
主持人：余淼杰、余昌华
主讲人：Xiangyu Qu 瞿翔宇 University of Paris 2
题目：Uncertainty Averse Mean Variance Utility
摘要：Classical derivations of mean variance preferences have all relied upon the expected utility hypothesis. Some widespread experimental studies have uncovered that the expected utility model tends to be systematically violated in practice. Such findings would lead people to doubt the empirical relevance of the literature and the practical effectiveness of the portfolio selection which employ the mean variance model. In this paper, I postulate a set of axioms, in a setting of subjective uncertainty, and demonstrate that my axiom set implies that the investor assigns subjective probability to events and judges each portfolio solely on the basis of mean and variance of its implied distribution over returns, but does not rank portfolio according to the expected utility. This subjective mean variance model remains intact with a wide body of observed behavior under uncertainty, which are inconsistent with the hypothesis of expected utility maximization. In addition, the subjective probability is essentially non-normal, which ties together a wide body of empirical observations in finance.
The classic Mean variance utility of Markowitz has been widely used both in economics and finance. In recent years, this approach is heavily criticized both theoretically and empirically for at least two reasons. The first reason is that it displays increasing risk aversion, which is not a plausible assumption for individual behavior. The second reason is that expected utility hypothesis could not address the ambiguity aversion, which is frequently observed in practices.
This paper proposes a new model of decision under uncertainty deemed uncertainty averse mean variance utility, or UAMV, which can properly address the two problems above. In this model, an uncertain prospect, or Savage act, is assessed according to (a) a baseline expected utility evaluation, and (b) an adjustment that reflects the individual’s perception of ambiguity and her attitudes toward it. The adjustment is a function of the variance of its utility profile. The key elements of the UAMV model are a baseline probability and the adjustment variance, which represent individual’s attitude toward ambiguity. A behavioral characterization of the UAMVU model is provided.
主讲人简介：Xiangyu Qu 瞿翔宇现为University of Paris 2大学Research Fellow。瞿翔宇博士2012年博士毕业于Ohio State University. 其主要研究领域为微观经济理论、决策理论、博弈论和行为经济学。瞿翔宇博士已在Economic Theory, Journal of Mathematical Economics, Theory and Decision等国际著名期刊发表过数篇论文。
演讲者的CV请见附件 cv_qu201604 。
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