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，上海交通大学安泰经济与管理学院

时   间：2023年5月25日（周四）12:40-14:10

地   点：上海交通大学（徐汇校区）安泰经济与管理学院A503

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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