条件风险价值约束与损失厌恶效用函数
Conditional Value-at-Risk Constraint and Loss Aversion Utility Functions
摘要：
我们提供了一个经济学解释的做法，包括在将风险措施的限制，在一个经典的预期收益率最大化问题。对于我们称之为风险度量的期望类的下确界，我们证明了如果决策者（DM）在风险度量有界的约束下最大化随机收益的期望，那么他在以下意义上表现为“广义期望效用最大化者”。DM表现出的模糊性相对于一个家庭的效用函数定义在一个更大的一组决定比原来的，他采用悲观主义，并执行第一个最小化的期望效用在这个家庭，然后执行一个最大化的一个新的决策集。这种经济行为被称为“风险下的最大值”，Maccheroni（2002）对此进行了研究。当风险度量是条件风险价值时，这种经济解释允许我们展示损失厌恶因子。
英文摘要：
We provide an economic interpretation of the practice consisting in incorporating risk measures as constraints in a classic expected return maximization problem. For what we call the infimum of expectations class of risk measures, we show that if the decision maker (DM) maximizes the expectation of a random return under constraint that the risk measure is bounded above, he then behaves as a ``generalized expected utility maximizer'' in the following sense. The DM exhibits ambiguity with respect to a family of utility functions defined on a larger set of decisions than the original one; he adopts pessimism and performs first a minimization of expected utility over this family, then performs a maximization over a new decisions set. This economic behaviour is called ``Maxmin under risk'' and studied by Maccheroni (2002). This economic interpretation allows us to exhibit a loss aversion factor when the risk measure is the Conditional Value-at-Risk.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
