?????(anomaly)??????????????????????????????????????

1
??????????????

• ??????? ?12?
• 2007.7.17
• ??? ???? ??????????

2
??????????

• ?????(anomaly)????????????????????????????????????
  ??
• ??????????(???????)?????????
  ??????????????????????????????????????????????????
  ??????????????????????
• ??????????????????????????????????????????????????
  ??????????(Bazerman, 1997???????????,2000
  )???????(Sage,1997 ) ??????????(Thaler,
  1990)???????????????????????? ?
• ??????????????????????????????

3
?????(Allais Paradox) (1)??????

• ??1.??A????100???????????B?89????100????10?500??
  ??1?0???????????A?B?2????????????????????????????
  ?????????
• ??2.??C?89?0???11?100?????????D?90?0???10?500?
  ?????????C?D?2????????????????????????????????????
  ?
• ??????(Common Consequence Effect)
  ?????????????????????????????????Allais(1953)?????
  ???????Machina(1989, p.1629)?????????

4
?????????

• ??????1?A??2?D?????????????????????????1???2??????
  89???????????????????????????
• ??A?B????????C???D???????????????(????????1)???
  ???
• ?????????????????????????????????????????????????
  ????2

5
?????(Allais Paradox) (2)?????

• ?????(Common Ratio Effect) ??????????????????(???
  ??4)??????????????????
• ??1.??A?80????4??????????????????B????3??????????
  ????????????????????
• ??2.??C?20????4?????????????????D?25????3???????
  ??????????????????????
• ?????Allais(1953)??????Kahnemann
  Tversky(1979)?????????????????95???????B????????80
  ???C??????65???

6
?????????

• Ellsberg(1961)???????????????(Ambiguity
  Aversion)?
• ???????90???????????????????????????????30????????
  ??60?????????????????
• ??1?????A?B?????????????????????????????
• ???A ???????
• ???B ???????
• ??2?????A?B?????????????????????????????
• ???A ????????????
• ???B ????????????

7
??????????

• Allais?Ellsberg???????????????????????????????????
  ??????????????? ???1
• ??????????????????????????????????????????????????
  ????????????????(??????)?????????????????????
• ??????????????????????????????????????????????????
  ??????????????????????????????????????????????????
  ???????????????????????2

8
?????????

• ?????????????????????????????????????????????????
  ???Segal(1987)????2????????????
  Ellsberg?????????????????????????????(????)???????
  
•  
• 0.1p? p?0.001?
• f(p)
• 1111 1
• ????p - ????? p?0.001.
• 1110 1110
•  
• ???????????????????f(p)p???p0.001??????????????
  ???????????????????????????f(ap(1-a)q)ltaf(p)(1-a
  )f(q) ????????????????????????????(????????)?????
  ????3???????????2?????p(B????20)p(B????60)1/2???
  ???
• ?????????????????????????????????????????????????
  ??????????????????????????????????????????????????
  ???????????????????(??S?????)

9
?S???????

• ??????????????????????????????????????????????????
  ??????????(decision weight, or probability
  weighting function)????????1
• ????????????????????????3??????????????????Karni
  and Safra(1987)?????????????????S?????????????????
  ?????????(??????)???? 2 ??????????????????Einho
  rn and Hogarth?????????????????
• Prelec(1998) w(p)Exp(-(-Ln(p)a))
• Tversky and Fox(1995) w(p) d(p?)/dp?(1-p)
  ?)
• Kahneman and Tversky(1992) w(p)
  (p?)/p?(1-p)?)(1/?)
• Einhorn and Hogarth(1985,1986)-Currim and
  Sarin(1989). w(p)p(1-p-pß).

 
10
?S???????
Prelecs probability weighting function Exp(-(-Ln
p)alpha) when alpha0.55
11
????????????????????

• ????????????2????????(???????????)
  ???????????1?0?????????????????????? ??? ?
• ??????????????(?????)?????????????????????????????
  ??????(?????)??????????????????????(???)?
• ??????????????????????????????????????????(??????
  ?)??????
• ??????????????????????????????????????????????????
  ??????????????????????????????????????????????????
  ????????????????
• ??????????????????????????????????????????????????
  ????????

???????????????????????????????????????(02/11/23)
12
????????

• ?????????????????(????)?????????????????????????(1
  981)?????????????????????????
• ???????????
• ???600???????????????????????????2????????????????
  ???????????????????
• ??A ????????????200??????
• ??B ????????????600????????3??1????????????3??2??
  ??

13
????????(??)

• ???????????
• ???600???????????????????????????2????????????????
  ???????????????????
• ??C ????????????400???????
• ??D ?????????????????????3??1????
  600?????????3??2??? ?
• Tversky????????(???????????)????????A?????????????
  ??????????(???????????)?????????D????????????

14
AC?BD???

• ?????????A?C?B?D??????????????????????????????????
  ?
• ?200???????400????????????????????(???600?????)
• ??A ????????????200??????
• ??C ????????????400???????
• ?600????????????????????? ?600????????????????????
  ???????
• ??B ????????????600????????3??1????????????3??2??
  ??
• ??D ?????????????????????3??1????
  600?????????3??2??? ?

15
????????

• ????????????AD(????BC)??????????????????????????
  ??????????????????
• ?????A?????????????D??????????????????????????????
  ???????????????
• ???????????gt???????
• ???????????gt??????
• ???????????????????????????????Markowitz?Allais?Sc
  hakle??????????????????????????

??
??
???????????
??
???????????
16
?????????????

• ??????(Reference-point Dependency)
• ??????
• ????(Loss Aversion)

17
??????

• ??????(preference reversals phenomena)
  ????????????????????????????? 1
• ????????????????????2????(???P???????)???????????
  ??????????????(??????????)????????????????????????
  
• ??????1.5?????25/36?16?????11/36?P???1?????1/3
  6?4?????35/36????EU???????????????????p(??)gtp(P
  ??)????ltP?????????????????????????????????????
  ????????????????????????????????????????
• Tversky, Slovic and Kahneman (1990)???1???????????
  ???????????620???65???????????????

18
?????????
19
???????

• ??????????????????????????????????????????????????
  ?????????????????
• ????????????????????????????????(??)?????(1r)(-n
  )????????????????????????????(NPV)???????????
• ??????????????????????????????????????????????????
  ???????????????????????????????????????????????
  ????????????

20
???????

• ??1 ???????????????????
• A ???????????? (86)
• B ???????????? (14)
• ??2 A?????????????
• C 1????????????????????? (80)
• D 2????????????????????? (20)
• ??3 ???A???????????
• E ??1???????????????????????2????????????????????
  ? (43)
• F ??1???????????????????????2????????????????????
  ? (57)
• ????????????????????????????(LowensteinPrelec,
  1991)?

21
???????(??)

• ????? (1997, pp.38-39)?????????????????????????
• ????1?A???????????????????
• U(??????)gtU(??????)
• ???N?????????f(N??)?????????(?????????????)
  f(1??) gtf(2??)???????????
• f(1??) U(??????)gtf(2??) U(??????).
• ?????2??8??C?????????????????
• ??????3?????A??????????????F?????????????????2????
  ????????????????????????????????
• f( 1??) U (??????)f( 2??) U(??????)
• lt f( 1??) U (??????)f(2??) U(??????)
• ? U (??????)ltU(??????)
• ?????????????f(1??)ltf( 2??)???????????????????????
  ???

22
??????????????????????

• Prelec?Lowenstein?????????????????4???????????????
  ?(Common Difference Effect)
• ????10???11??????6????10???11????????1???????????
• ????????(Gain/Loss Asymmetry)
• ??????????????????????????????
• ????(Magnitude Effect)
• ????????????????????????????????
• ?????(Framing Effect)
• ??????????????????????????????????????????????????
  ??????
• ???????????????????????????

23
??????(????)
Quality satisfaction (Q)?

• Assume that A and B was equally chosen before
  adding C.
• Note that C is never superior to B (i.e., C is
  dominated by B) but superior to A at least in one
  aspect (i.e., C is undominated by A).

B
C
A
Price discount (P)?
Fig. 1 Asymmetric dominance (Huber et al, 1982)?
24
???????????????

• ????????????????????????????????????????(????)????
  ??
• ???3?????????????????????????????
• ??????(????)
• ????
• ????

25
????
B
C
A
Fig. compromise effect
26
????
B
C
A
Fig. Similarity effect
27
????????(DFT)?????
28
ICT(??????)???????

• ICT??????????????????????????????????????????????
  ??????????????
• ????????IC?????
• ?????(IC???)??????
• (???)????
• ???????
• ??????

29
?????????????(??)

• ???? (1997). ???????????????????.?????.
• ??? (1997). ????????????????????????????????.???.
  
• ????(1992).??????????????????????????.??????.
• ????(1986).??????????????.?????.
• ???(1997).?????????????????-????????.?????.1997.
• ????(1988).?????????.??????18.?????.
• ????(1995). ????????????. ????.
• ????(??).(1997).??????????????.????.
• ?????(1994).?????????????????????.???.
• ???? (1997). ?????????????.?????.
• ?? ??(1997). ??????????????--????????????.?????.
• ????(2006).?????????????????????????.

30
?????????????(????)

• Bazerman, M. H. (1997). Judgment in Managerial
  Decision Making. 4th edition. Wiley. (???)
• Hammond,J. S., R. L. Keeney and H. Raiffa
  (1999). Smart Choices A Practical Guide to
  Making Better Decisions. Harvard Business School
  Press. (???)
• W. M. Goldstein and R. M. Hogarth (eds.). (1997).
  Research on Judgment and Decision Making
  Currents, Controversies. Cambridge University
  Press.
• D. Kahneman, P. Slovic nd A. Tversky (eds.).
  (1982) Judgment under Uncetainty Heuristics and
  Biaases. Cambridge University Press.
• A. P. Sage (1997). ???????????????.????????(?).??
  ?????.(??????1992)
• P.???????(2001).????(??)?.?????????.
• G.?????T.??????(2000).???????????????????????.???
  ????.
• Thaler, R. (1990). Anomalies saving,
  fungibility, and mental accounts. Journal of
  Economic Perspectives 4193-205.
  ???(?).???????????.???????.1998.?9?

31
?????????????(???????DFT)

• Busemeyer, J. R. and J. G. Johnson,
  Computational Models of Decision Making, In D.
  G. Koehler and N. Harvey (eds.), Handbook of
  Judgment and Decision Making, Blackwell,
  pp.133-154, 2004.
• Huber, J., J. W., Payne, C. Puto, Adding
  asymmetrically dominated alternatives violations
  of regularity and the similarity hypothesis,
  Journal of Consumer Research, Vol. 9, No. 1,
  pp.90-98, 1982.