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研究生:謝孟蓁
研究生(外文):Hsieh, Meng-Chen
論文名稱:在期望效用理論與累積前景理論下最佳投資策略的比較
論文名稱(外文):Comparison of Optimization in the Sense of Expected Utility Theory and Cumulative Prospect Theory
指導教授:吳慶堂吳慶堂引用關係
指導教授(外文):Wu, Ching-Tang
學位類別:碩士
校院名稱:國立交通大學
系所名稱:應用數學系所
學門:數學及統計學門
學類:數學學類
論文種類:學術論文
論文出版年:2009
畢業學年度:97
語文別:英文
論文頁數:61
中文關鍵詞:最佳投資策略期望效用理論前景理論累積前景理論
外文關鍵詞:optimal strategyexpected utility theoryprospect theorycumulative prospect theory
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本論文的重點為比較在期望效用理論與累積前景理論下最佳投資策略的差異。而且分成兩個部分來探討─不必考慮手續費的財務市場以及在賣股票後需繳交固定比率手續費的財務市場。我們給一些在一個交易時間的財務模型中關於最佳投資策略以及最佳避險策略結果,並且討論在這兩套不同理論下其結果的差異。
In this thesis, our main point is that compare the optimal strategy in the sense of expected utility theory and cumulative prospect theory. Moreover, we suppose that there exist two kind of market model: A model without transaction cost and a model with transaction cost. We give some results about optimal trading strategy and optimal hedging strategy in one period market model. And we discuss the difference of the results in these two senses.
中文提要 i
英文提要 ii
誌謝 iii
目錄 iv
一、 Introduction 1
二、 Theoretical Framework 5
2.1 Preference Relation and Expected Utility Theory 5
2.2 Prospect Theory 7
2.3 Cumulative Prospect Theory 13
三、 Comparison of Optimization in the Sense of Expected
Utility Theory and Cumulative Prospect Theory I:
A Model Without Transaction Cost 17
3.1 Optimal Trading Strategy in One Period Model 17
3.2 Reference Point Effect 27
3.3 Optimal Hedging Strategy in One Period Model 34
四、 Comparison of Optimization in the Sense of Expected
Utility Theory and Cumulative Prospect Theory II:
A Model With Transaction Cost 43
五、 Conclusion 59
Bibliography 61
Kahneman, D., and Tversky, A., 1979. Prospect Theory: An Alaysis
of Decision under Risk. Econometrica, 47, 263-291.

Kahneman, D., and Tversky, A., 1992. Advances in Prospect Theory:
Cumulative Representation of Uncertainty. Journal of Risk and
Uncertainty, 5, 297-323.

Wakker, P., and Tversky, A., 1993. An Axiomatization of Cumulative
Prospect Theory. Journal of Risk and Uncertainty, 7, 147-176.

Schmeidler, D., 1989. Subjective Probability and Expected Utility
Without Additivity. Econometrica, 57, 571-587.


Prelec, D., 1998. The Probability Weighting Function.
Econometrica, 66, 497-527.

Luce, R. D., 1998. Rank-dependent, Subjective Expected Utility
Representation. Journal of Risk and Uncertainty, 1, 305-332.


Qingwei, L., Yi, L., and Shouyang, W., 2008. From Hedging to
Speculation: An Explanation Based on Prospect Theory. Jrl Syst
Complexity, 21, 394-405.


C.-S. Hu., 2008. Optimal Trading Strategy with Transaction Cost in
a Partial Information Model. Master Thesis in National Chiao Tung
University.

Quiggin, J., 1982. A Theory of Anticipated Utility. Journal of
Economic Behaviour and Organization, 3, 323-343.

Schmidt, U., 2002. Reference Dependence in Cumulative Prospect
Theory. Journal of Mathmatical Psychology, Forthcoming.

Ali, N., Ian, B., and Sanjit, D., 2008. A Note on the Utility
Function under Prospect Theory. Economics Letters, 99, 337-339.

Kahneman, D., and Tversky, A., 1986. Rational Choice and the
Framing of Decision. Journal of Business, 59, 251-278.

Rieger, M., O., and Mei, W.,2006. Cumulative Prospect Theory and
the St. Peterburg Paradox. Economic Theory, 28, 665-679.
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