A computational model of the intertemporal optimal choice under psychological biases
Project/Area Number |
23500342
|
Research Category |
Grant-in-Aid for Scientific Research (C)
|
Allocation Type | Multi-year Fund |
Section | 一般 |
Research Field |
Statistical science
|
Research Institution | University of Tsukuba |
Principal Investigator |
SHOJI Isao 筑波大学, システム情報系, 教授 (20282329)
|
Project Period (FY) |
2011 – 2013
|
Project Status |
Completed (Fiscal Year 2013)
|
Budget Amount *help |
¥2,730,000 (Direct Cost: ¥2,100,000、Indirect Cost: ¥630,000)
Fiscal Year 2013: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2012: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2011: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
|
Keywords | 意思決定 / 時間選好 / プロスペクト理論 / 動的最適化 / 行動ファイナンス / 行動計量分析 / 異時点間最適分配問題 / 近視眼的利得追求 / 投資信託 / 異時点間最適意思決定問題 / 損失回避 / リスク回避 / 双曲型割引 / 意時点間最適意思決定問題 |
Research Abstract |
This research discusses a decision problem under human psychological biases through numerical experiments. A decision maker tries to find the optimal choice in a financial problem by maximizing the subjects' expected utility for multiple periods, which is measured by the value function in the prospect theory. The subjects are assumed to be myopic for monetary reward and show time-inconsistent preference. Additionally, they have different risk tolerances for gains and losses, causing the framing effect. Under these conditions, a comparative analysis is carried out numerically to evaluate a combined effect of the two psychological factors on the intertemporal choice. The research also presents a simple computational method for the numerical analysis and proves its validity.
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Report
(4 results)
Research Products
(8 results)