2013 Fiscal Year Final Research Report
A computational model of the intertemporal optimal choice under psychological biases
| Project/Area Number |
23500342
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Statistical science
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| Research Institution | University of Tsukuba |
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Principal Investigator |
SHOJI Isao 筑波大学, システム情報系, 教授 (20282329)
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| Project Period (FY) |
2011 – 2013
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| 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 |
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| 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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