基于期望效用-熵风险度量的决策者风险态度

期望效用-熵风险度量将决策者对于风险的感知表示为风险行动的期望效用和状态的熵线性组合,其表达式中,期望效用-熵平衡系数为重要常数参数;展望理论中的实证表明决策者的风险态度和其财富水平相关,文章分析了一类特定决策者财富水平的变化对其风险态度的影响,通过Arrow-Pratt风险厌恶度建立了该类型决策者期望效用-熵平衡系数和财富水平之间的一个关系式,在此基础上分析和解释了一些特定决策者的某些决策行为。

Decision Maker's Risk Attitude Based on Expected Utility-Entropy Measure of Risk

As a measure of decision maker-s perception of risks, the expected utility-entropy measure of risks is expressed as the linear weighted sum of expected utility of risky action and entropy of the state, where expected utility-entropy tradeoff coefficient is the important constant parameter. However, an empirical study in prospect theory shows that the decision maker-s risk attitude is closely related to his wealth level. The paper analyzes the impact of some kinds of decision makers- wealth level to their risk attitude. Then an expression has been established between expected utility-entropy tradeoff coefficient and decision maker-s wealth level via Arrow-Pratt risk aversion to this certain kind of decision makers. On the basis of this expression, several kinds of decision maker-s behaviors can be explained reasonably.