讲座：Source Recursive Utility with Lab and Field Evidence relating to Home Bias 发布时间：2023-05-24
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题 目：Source Recursive Utility with Lab and Field Evidence relating to Home Bias
嘉 宾：Soo Hong Chew，教授，西南财经大学中国行为经济与行为金融研究中心
主持人：LIM XI ZHI，助理教授，金沙6038
时 间：2023年5月25日（周四）12:40-14:10
地 点：金沙6038（徐汇校区）金沙6038A503
内容简介：
Decision making often involves compounding of risks from different sources. Building on the Herstein-Milnor mixture set axiomatization of expected utility theory, we employ multiple mixture operators each modeling a source of risk to arrive at the definition of a rich mixture set, elements of which are rich lotteries. Our modeling framework enables a source-dependent weakening of the independence axiom as well as the reduction of compound lottery axiom. This yields a representation for preference over rich lotteries called source recursive expected utility (SREU). When there is consistent preference for the “same” lottery arising from different sources, SREU implies a preference for risk being resolved more decisively by the preferred source. We further show that an SREU investor always exhibits home bias when she consistently prefers risks arising from the domestic stock market over identically distributed risks from the foreign stock market. Using a novel trailing digit design, we identify familiarity bias that is free from other confounds such as ambiguity aversion or information advantage. The first set of four experiments show familiarity bias in portfolio choice, valuation of stocks, and market indices. In a further experiment using real-life investors in Hong Kong, we find evidence of subjects’ home bias in stock holding being linked to familiarity bias but not to ambiguity aversion.
演讲人简介：
周恕弘，教授，西南财经大学中国行为经济与行为金融研究中心特聘主任。计量经济学会院士、经济学理论促进学会（SAET）院士（Fellow）、实验与行为经济学家。1976年本科就读于美国哈维姆德学院的物理学专业，同时获得英国伦敦大学的数学专业学士学位，并获得英国伦敦城市行业协会颁发的电信全面技术证书（Full Technological Certificate in Telecommunications）。1977年获得加州克雷蒙研究院的数学硕士学位，1981年获得加拿大不列颠哥伦比亚大学跨学科研究（数学、经济学、管理科学）的博士学位。担任的课程包括决策理论、微观经济学理论、行为与实验经济学，其研究领域为决策理论、行为与生物经济学、实验经济学，曾执任香港科技大学实验商业研究中心主任，曾执教于美国亚利桑那大学、约翰霍普金斯大学、加州大学尔湾分校、香港科技大学，曾访问过美国杜兰大学、加拿大多伦多大学、以色列特拉维夫大学。他的研究成果发表于Journal of Political Economy、Econometrica、Journal of Economic Theory、Review of Economic Studies等期刊。
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