Normalized Quadratic Systems of Consumer Demand Functions

Empirically estimated demand systems frequently fail to satisfy the appropriate theoretical curvature conditions. We propose and estimate two demand systems for which these conditions can be imposed globally; the first is derived from a normalized quadratic reciprocal indirect utility function and the second is derived from a normalized quadratic expenditure function. The former is flexible if there are no restrictions on its free parameters, but loses flexibility if the curvature conditions need to be imposed. The latter is flexible, in the class of functions satisfying local money metric scaling, even if the curvature conditions need to be imposed.     

A multivariate solution of the multivariate ranking and selection problem

The problem of selection of the best multivariate population is given a new formulation which does not involve reducing the populations to univariate quantities. This formulation's solution is developed for known, and (using the Heteroscedastic Method) also for unknown, variance-covariance matrices. Preference reversals and arbitrary nonlinear preference functions are explicitly allowed in this new theory     

国际工程项目的效用决策分析

国际工程项目投标对象的选择是一类典型的多目标决策问题。针对多目标、多标准决策中对多个选择项目的优劣判断较困难的情况下，提供了一种以效用作为统一各目标的评判标准的项目选择方法。效用理论作为科学决策的重要基本理论，在决策领域发挥着重要作用。基于效用理论及其对国际工程项目评价实用性分析，通过实例分析证明了其在国际工程中的应用价值。     

The impact of risk sharing on efficient decision

A group of risk-averse members must choose among monetary risks and payoff-sharing rules. Departure from the status quo requires unanimous consent. Such groups drill for oil, bail out nations, and make hostile takeover bids. Assume agreement on probabilities. As is well known, if all members have identically shaped HARA utility functions, efficient group act-choices follow another such function independently of payoff sharing. We show that all other groups inevitably have complex efficient behavior, accepting gambles among individually unacceptable lotteries in almost every status quo position. We also develop proper risk aversion for groups, and treat disagreement on probabilities.Support of the Associates of the Harvard Business School (Pratt) and the Business and Government and Energy and Environmental Policy Centers (Zeckhauser) is gratefully acknowledged. We received helpful comments from Scott Johnson, Mark Machina, and a referee. Jay Patel provided assistance beyond the call of collegiality.     

文化与效用极大化的方向——20世纪30年代一个内地村庄的生活方式及其经济学意义

人类效用极大化的方向至少有两个:一个方向是欲望满足的最大化,对应于西方文化里的生活态度与人生目标;另一个方向是身心痛苦的最小化,对应于中国传统文化里的生活态度与人生目标.在费孝通早年研究的云南禄村,小地主们过着一种整天闲混的生活,他们依靠雇工种田,自己尽可能不工作.这是一条追求身心痛苦最小化的人生道路,与资本主义精神格格不入.因此,解释人类行为及社会现象的经济学理论,需要与当事人的生活态度及文化传统相契合,故具有本土特征.     

A Further Examination of Cumulative Prospect Theory Parameterizations

Recent experimental studies have focused on fitting parameterized functional forms to cumulative prospect theory's weighting function. This paper examines the behavioral implications of the functional forms and the estimated parameters. We find that none of the parameterizations can simultaneously account for gambling on unlikely gains and the Allais paradox behavior or other strong choice patterns from experiments. Parameter estimates that lead to reasonable amounts of insurance and gambling behavior tend to also generate large risk premia. Taken as a whole, the analysis suggests that the functional forms proposed in the literature are not suitable for generalization to applied settings.     

Sharing beliefs and the absence of betting in the Choquet expected utility model

Choquet expected utility maximizers tend to behave in a more “cautious” way than Bayesian agents, i. e. expected utility maximizers. We illustrate this phenomenon in the particular case of betting behavior. Specifically, consider agents who are Choquet expected utility maximizers. Then, if the economy is large, Pareto optimal allocations provide full insurance if and only if the agents share at least on prior, i. e., if the intersection of the core of the capacities representing their beliefs is non empty. In the expected utility case, this is true only if they have a common prior. Received: July 2000; revised version: May 2001     

Testing Theories of Choice Under Risk: Estimation of Individual Functionals

The method introduced here allows us to use a data set with a non-restricted number of outcomes, here 21. Hence, our method complements the other ones developed in the domain of the probability triangle. Individual parameters are estimated for expected utility and various non-expected utility theories. We use CRRA and CARA utility functions, both without and with the assumption of weakly concavity. Rank-dependent utility, prospective reference and cognitive consistency theories emerge from the others.An erratum to this article can be found at     

An application of a minimax Bayes rule and shrinkage estimators to the portofolio selection problem under the Bayesian approach

This paper shows that a minimax Bayes rule and shrinkage estimators can be effectively applied to portfolio selection under the Bayesian approach. Specifically, it is shown that the portfolio selection problem can result in a statistical decision problem in some situations. Following that, we present a method for solving a problem involved in portfolio selection under the Bayesian approach.     

国际体坛反兴奋剂的经济学分析

国际体坛反兴奋剂问题不仅是法律问题、政治问题、医学问题,也是一个经济学问题。本文通过建立一个简单的效用函数,分析了运动员使用兴奋剂的成本和收益因素,并根据这些因素,提出了通过提高运动员使用兴奋剂行为的预期成本来减少兴奋剂使用行为的一些措施。