Econ Papers Daily / 期刊论文
关于多次承担偏斜风险
On Taking a Skewed Risk More than Once
摘要
Penny-picking refers to the often-observed phenomenon of repeatedly taking negatively skewed risks and seems directly at odds with evidence on (positive-)skewness-seeking as observed in static settings. We show that penny-picking may not only occur despite skewness-seeking, but—seemingly paradoxically—because of skewness-seeking. With sufficient time available, risks with arbitrary negative skewness can be gambled in such a way that, overall, skewness is positive. Therefore, classical behavioral theories like prospect theory straightforwardly explain penny-picking. More generally, we show that the versatile dynamics of skewness reconcile apparent preference reversals concerning the avoidance and acceptance of (skewed and non-skewed) risks. (JEL D81, D91, G11, G41)
中文摘要
捡硬币”现象指反复承担负偏态风险的常见行为，这与静态环境下观察到的（正）偏态偏好证据直接矛盾。我们证明，捡硬币行为不仅可能发生在偏态偏好存在的情况下，而且——看似矛盾地——恰恰源于偏态偏好。当时间足够充裕时，任意负偏态风险可通过特定博弈方式转化为整体正偏态。因此，前景理论等经典行为理论能直接解释捡硬币现象。更一般地，我们揭示了偏态的动态特性如何调和了关于规避与接受（偏态与非偏态）风险的表面偏好反转现象。（JEL D81, D91, G11, G41）