The Recovery of Risk Preferences from Actual Choices
从实际选择中恢复风险偏好AI 解读 ↓
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AI 根据所提供的论文材料归类：摘要明确从证券交易商的实际资产需求估计风险偏好，并结合其主观预测分析预期与偏好的作用，属于偏好结构估计。
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从实际选择中恢复风险偏好
- 研究问题
- 如何从实际资产需求中恢复个人风险偏好，并区分主观预期与偏好的影响，同时检验直接偏好评估能否预测真实行为？
- 方法与思路
- 作者将一位美国国债交易商的直接风险偏好评估与每周国库券拍卖需求的统计估计比较，并用其本人预测构造收益分布。
- 材料陈述的贡献
- 摘要称研究尝试从真实资产需求中恢复风险偏好，提出偏好测量程序，并考察直接评估能否预测实际行为；具体比较结果未给出。
- 阅读关注点
- 阅读全文时应核对资产需求模型如何区分主观预期与风险厌恶，财富等变量如何测量，以及直接评估与行为估计的比较依据。
- 阅读边界
- 摘要未报告估计值、样本规模、识别条件或比较结果；单一交易商的分析也不足以判断方法对其他投资者的适用性。
原文摘要
SINCE ITS INTRODUCTION, the expected utility hypothesis has been widely used in the construction of economic models. More recently, attention has focused on the conditions under which it is possible in principle to recover individual investors' risk preferences from their demand for assets (Dybvig and Polemarchakis [2]). This paper represents a first attempt to recover preferences operationally from data on the actual demand for assets. Numerous difficulties are encountered in attempting to measure preferences toward risk in a real world setting. Preferences are revealed through the choices of an individual. But in an uncertain world, these choices also depend on his expectations of future events. Hence, an immediate problem arises in separating the influences of each on such decisions. Problems can also arise in measuring other variables, such as wealth, which influence choices. Because of these difficulties, efforts to classify and measure an individual's risk preferences have been confined to direct assessments in hypothetical environments (e.g. Kahneman and Tversky [4] and Keeney and Raiffa [5, pp. 203-212]).2 In these studies the authors assumed that stated preferences are accurate indicators of actual behavior. The question remains, however, whether individuals actually behave in the way their assessments predict. The purpose of this note is to make some progress in answering this question. In it an experiment is described which infers an individual's risk preferences from his actual choices in a real world environment. Specifically, the risk aversion of a dealer in U.S. Government securities is assessed directly and then estimated statistically from his actual demand for bills in the weekly Treasury auctions. The distribution of returns used in the analysis are calculated from the forecasts made by the dealer himself. In addition to introducing new procedures for measuring preferences, this study provides insights into the reliability of direct assessments in predicting the actual behavior.