Teoria do Prospecto: Uma Análise Paramétrica de Formas Funcionais no Brasil Outros Idiomas

ID:
47075
Resumo:
Este estudo teve o objetivo de analisar as preferências ao risco no Brasil seguindo os preceitos da Teoria do Prospecto. Para tal, foi estimado o parâmetro de aversão ao risco da Teoria da Utilidade Esperada para uma amostra selecionada, e foram sugeridos os parâmetros da função e probabilidade, supondo diversas formas funcionais e uma nova função de valor – a log modificada. Este foi o primeiro estudo realizado no Brasil para a estimação de tais valores. Os resultados mostraram parâmetros ligeiramente diferentes daqueles encontrados em estudos realizados em outros países, apontando que, no caso da amostra estudada, os indivíduos são mais avessos ao risco e exibem uma menor aversão à perda. A distorção de probabilidade é o único elemento semelhante ao de outros países. Como esperado, o estudo constatou a superioridade dos modelos comportamentais em relação à Teoria da Utilidade Esperada (TUE). Além disso e correspondente às expectativas, o desempenho de modelos baseados na Teoria do Prospecto, TK, Função de Ponderação de Prelec e Função Valor Potencia foi superior aos demais. Por fim, a função de log modificada sugerida no estudo encaixa-se bem nos dados e pode assim ser aplicada em futuros estudos no Brasil.
Citação ABNT:
LOBEL, R. E.; KLOTZLE, M. C.; SILVA, P. V. J. G.; PINTO, A. C. F. Prospect Theory: A Parametric Analysis of Functional Forms in Brazil . Revista de Administração de Empresas, v. 57, n. 5, p. 495-509, 2017.
Citação APA:
Lobel, R. E., Klotzle, M. C., Silva, P. V. J. G., & Pinto, A. C. F. (2017). Prospect Theory: A Parametric Analysis of Functional Forms in Brazil . Revista de Administração de Empresas, 57(5), 495-509.
DOI:
http://dx.doi.org/10.1590/S0034-759020170507
Link Permanente:
http://www.spell.org.br/documentos/ver/47075/teoria-do-prospecto--uma-analise-parametrica-de-formas-funcionais-no-brasil-/i/pt-br
Tipo de documento:
Artigo
Idioma:
Inglês
Referências:
Abdellaoui, M.; Bleichrodt, H.; L’Haridon, O. (2013). Sign-dependence in intertemporal choice. Journal of Risk and Uncertainty, 47(3), 225-253. doi: 10.1007/s11166-013-9181-9

Abdellaoui, M.; Vossmann, F.; Weber, M. (2005). Choice-based elicitation and decomposition of decision weights for gains and losses under uncertainty. Management Science, 51(9), 1384-1399.

Attema, A. E.; Brouwer, W. B. F.; L’Haridon, O. (2013). Prospect theory in the health domain: A quantitative assessment. Journal of Health Economics, 32(6), 1057-1065. doi: 10.1016/j.jhealeco.2013.08.006

Barberis, N.; Huang, M. (2008). Stocks as lotteries: The implications of probability weighting for security prices. American Economic Review, 98(5), 2066-2100.

Bernoulli, D. (1954). Exposition of a new theory on the measurement of risk. Econometrica, 22(1), 23-36. doi: 10.2307/1909829

Booij, A.; van Praag, B.; van de Kuilen, G. (2010). A parametric analysis of prospect theory’s functionals for the general population. Theory and Decision, 68(1-2), 115-148. doi: 10.1007/s11238-009-9144-4

Ellsberg, D. (1961). Risk, ambiguity, and the savage axioms. The Quarterly Journal of Economics, 75(4), 643-669.

Fishburn, P. C.; Kochenberger, G. A. (1979). Two-piece Von NeumannMorgenstern utility functions. Decision Sciences, 10(4), 503-518. doi: 10.1111/j.1540-5915.1979.tb00043.x

Goldstein, W. M.; Einhorn, H. J. (1987). Expression theory and the preference reversal phenomena. Psychological Review, 94(2), 236254. doi: 10.1037/0033-295X.94.2.236

Gonzalez, R.; Wu, G. (1999). On the shape of the probability weighting function. Cognitive Psychology, 38(1), 129-166. doi: 10.1006/ cogp.1998.0710

Harrison, G. W.; Humphrey, S. J.; Verschoor, A. (2010). Choice under uncertainty: Evidence from Ethiopia, India and Uganda. The Economic Journal, 120(543), 80-104. doi: 10.1111/j.1468-0297.2009.02303.x

Instituto Brasileiro de Geografia e Estatística (IBGE). (2014). Pesquisa Nacional por Amostra de Domicílios (Pnad) Contínua. Brasilia, DF.

Kahneman, D.; Tversky, A. (1979). Prospect theory: An analysis of decision under risk. Econometrica, 47(2), 263-292. doi: 10.2307/1914185

Karmarkar, U. S.. (1979). Subjectively weighted utility and the Allais Paradox. Organizational Behavior and Human Performance, 24(1), 67-72. doi: 10.1016/0030-5073(79)90016-3

Köbberling, V.; Wakker, P. P. (2005). An index of loss aversion. Journal of Economic Theory, 122(1), 119-131. doi: 10.1016/j.jet.2004.03.009

Liu, E. M. (2012). Time to change what to sow: Risk Preferences and technology adoption decisions of cotton farmers in China. Review of Economics and Statistics, 95(4), 1386-1403. doi: 10.1162/REST_a_00295

Markowitz, H. (1952). Portfolio selection. The Journal of Finance, 7(1), 7791. doi: 10.1111/j.1540-6261.1952.tb01525.x

Nguyen, Q.; Leung, P. (2010). How nurture can shape preferences: An experimental study on risk preferences of Vietnamese fishers. Environment and Development Economics, 15(5), 609-631. doi: 10.1017/S1355770X10000203

Prelec, D. (1998). The probability weighting function. Econometrica, 66(3), 497-527. doi: 10.2307/2998573

Rieger, M. O.; Wang, M.; Hens, T. (2011). Prospect theory around the world (October 31, 2011). NHH Dept. of Finance & Management Science Discussion Paper No. 2011/19.

Rieger, M. O.; Wang, M.; Hens, T. (2017). Estimating cumulative prospect theory parameters from an international survey. Theory and Decision, 82(4), 567-596. doi: 10.1007/s11238-016-9582-8

Rieger, M.; Wang, M. (2008). Prospect theory for continuous distributions. Journal of Risk and Uncertainty, 36(1), 83-102. doi: 10.1007/s11166-007-9029-2

Scholten, M.; Read, D. (2014). Prospect theory and the “forgotten” fourfold pattern of risk preferences. Journal of Risk and Uncertainty, 48(1), 67-83. doi: 10.1007/s11166-014-9183-2

Tanaka, T.; Camerer, C. F.; Nguyen, Q. (2010). Risk and time preferences: Linking experimental and household survey data from Vietnam. American Economic Review, 100(1), 557-571. doi: 10.1257/ aer.100.1.557

Tversky, A.; Kahneman, D. (1992). Advances in prospect theory: Cumulative representation of uncertainty. Journal of Risk and Uncertainty, 5(4), 297-323.

Tversky, A.; Wakker, P. (1995). Risk attitudes and decision weights. Econometrica, 63(6), 1255-1280. doi: 10.2307/2171769

Wakker, P. P. (2008). Explaining the characteristics of the power (CRRA) utility family. Health Economics, 17(12), 1329-1344. doi: 10.1002/ hec.1331

Wu, G.; Gonzalez, R. (1996). Curvature of the probability weighting function. Management Science, 42(12), 1676-1690.

Zeisberger, S.; Vrecko, D.; Langer, T. (2012). Measuring the time stability of Prospect Theory preferences. Theory and Decision, 72(3), 359-386. doi: 10.1007/s11238-010-9234-3

Abdellaoui, M. (2000). Parameter-free elicitation of utility and probability weighting functions. Management Science, 46(11), 1497-1512.

Abdellaoui, M.; Bleichrodt, H.; L’Haridon, O. (2008). A tractable method to measure utility and loss aversion under prospect theory. Journal of Risk and Uncertainty, 36(3), 245-266. doi: 10.1007/s11166008-9039-8

Abdellaoui, M.; Bleichrodt, H.; Paraschiv, C. (2007). Loss aversion under prospect theory: A parameter-free measurement. Management Science, 53(10), 1659-1674.

Allais, M. (1953). Le comportement de l’homme rationnel devant le risque: Critique des postulats et axiomes de l’ecole americaine. Econometrica, 21(4), 503-546. doi: 10.2307/1907921

Barberis, N.; Huang, M.; Santos, T. (2001). Prospect theory and asset prices. The Quarterly Journal of Economics, 116(1), 1-53. doi: 10.1162/003355301556310

Bui, T. (2009). Prospect Theory and Functional Choice. A Dissertation Submitted to the Graduate School in Partial Fulfillment of the Requirements for the Degree Erasmus Mundus Master: Models and Methods of Quantitative Economics (QEM), Bielefeld University and The University of Paris 1 Panthéon-Sorbonne.

Camerer, C. F.; Ho, T.-H. (1994). Violations of the betweenness axiom and nonlinearity in probability. Journal of Risk and Uncertainty, 8(2), 167-196. doi: 10.1007/BF01065371

Gerber, H. U.; Pafum, G. (1998). Utility functions: From risk theory to finance. North American Actuarial Journal, 2(3), 92-94. doi: 10.1080/ 10920277.1998.10595731

Gomes, F. J. (2005). Portfolio choice and trading volume with loss‐averse investors. The Journal of Business, 78(2), 675-706. doi: 10.1086/427643

Harrison, G.; Rutström, E. (2009). Expected utility theory and prospect theory: One wedding and a decent funeral. Experimental Economics, 12(2), 133-158. doi: 10.1007/s10683-008-9203-7

Holt, C. A.; Laury, S. K. (2002). Risk aversion and incentive effects. American Economic Review, 92(5), 1644-1655.

Karmarkar, U. S. (1978). Subjectively weighted utility: A descriptive extension of the expected utility model. Organizational Behavior and Human Performance, 21(1), 61-72. doi: 10.1016/0030-5073(78)90039-9

Liebenehm, S.; Waibel, H. (2014). Simultaneous estimation of risk and time preferences among small-scale cattle farmers in West Africa. American Journal of Agricultural Economics, 96(5), 1420-1438. doi: 10.1093/ajae/aau056

Machina, M. J. (2008). Non-expected utility theory. In S. N. Durlauf & L. E. Blume (Eds.), The New Palgrave Dictionary of Economics.2nd ed. London, UK: Palgrave Macmillan.

Nguyen, Q.; Leung, P. (2009). Do Fishermen have Different Attitudes Toward Risk?An Application of Prospect Theory to the Study of Vietnamese Fishermen. Journal of Agricultural and Resource Economics, 34(3), 518-538.

Palacios-Huerta, I.; Serrano, R. (2006). Rejecting small gambles under expected utility. Economics Letters, 91(2), 250-259. doi: 10.1016/j. econlet.2005.09.017

Rieger, M. O.; Bui, T. (2011). Too risk-averse for prospect theory? Modern Economy, 2(4), 691-670. doi: 10.4236/me.2011.24077

Schmidt, U.; Traub, S. (2002). An experimental test of loss aversion. Journal of Risk and Uncertainty, 25(3), 233-249. doi: 10.1023/A:1020923921649

Stott, H. P. (2006). Cumulative prospect theory’s functional menagerie. Journal of Risk and Uncertainty, 32(2), 101-130. doi: 10.1007/s11166006-8289-6

Tu, Q. (2005). Empirical analysis of time preferences and risk aversion. Tilburg University: CentER, Center for Economic Research.

von Neumann, J.; Morgenstern, O. (1944). Theory of Games and Economic Behavior. Princeton, USA: Princeton University Press.