遍历性破缺揭示人类时间最优决策

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摘要翻译：
遍历性描述了可观察项的期望值和时间平均值之间的等价性。应用于人类行为的遍历决策理论揭示了个人在不同环境中应该如何容忍风险。为了随着时间的推移使财富最优化，代理人应该根据他们所面临的动态环境来调整他们的效用函数。线性效用对于加性动力学是最优的，而对数效用对于乘性动力学是最优的。人类是否在不同的动力学中近似于时间最优行为尚不清楚。在这里，我们比较了加法和乘法赌博动力学对风险选择的影响。我们证明了效用函数是由赌博动力学以一种主流决策理论无法解释的方式调制的。相反，正如时间最优性所预测的那样，风险厌恶在乘法动态下增加，分布接近于财富时间平均增长最大化的值。我们认为，我们的发现激发了明确地将决策理论建立在遍历考虑上的必要性。
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英文标题：
《Ergodicity-breaking reveals time optimal decision making in humans》
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作者：
David Meder, Finn Rabe, Tobias Morville, Kristoffer H. Madsen, Magnus
  T. Koudahl, Ray J. Dolan, Hartwig R. Siebner, Oliver J. Hulme
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最新提交年份：
2020
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分类信息：

一级分类：Economics        经济学
二级分类：General Economics        一般经济学
分类描述：General methodological, applied, and empirical contributions to economics.
对经济学的一般方法、应用和经验贡献。
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一级分类：Quantitative Finance        数量金融学
二级分类：Economics        经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
--

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英文摘要：
  Ergodicity describes an equivalence between the expectation value and the time average of observables. Applied to human behaviour, ergodic theories of decision-making reveal how individuals should tolerate risk in different environments. To optimise wealth over time, agents should adapt their utility function according to the dynamical setting they face. Linear utility is optimal for additive dynamics, whereas logarithmic utility is optimal for multiplicative dynamics. Whether humans approximate time optimal behavior across different dynamics is unknown. Here we compare the effects of additive versus multiplicative gamble dynamics on risky choice. We show that utility functions are modulated by gamble dynamics in ways not explained by prevailing decision theory. Instead, as predicted by time optimality, risk aversion increases under multiplicative dynamics, distributing close to the values that maximise the time average growth of wealth. We suggest that our findings motivate a need for explicitly grounding theories of decision-making on ergodic considerations.
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PDF链接：
https://arxiv.org/pdf/1906.04652

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关键词：遍历性 Environments Contribution Quantitative logarithmic 决策 揭示 should optimal 最优