Bihevioristička teorija financija

master's thesis

• Author: Doris Božović
• Mentor: Lavoslav Čaklović (mentor)
• Committee member: Lavoslav Čaklović (predsjednik povjerenstva)
• Committee member: Tina Bosner (član povjerenstva)
• Committee member: Zvonimir Tutek (član povjerenstva)
• Committee member: Vjeran Hari (član povjerenstva)
• Granter: University of Zagreb; Faculty of Science; (Department of Mathematics); Zagreb
• Defense date and country: 2014-09-25, Croatia
• Scientific / art field, discipline and subdiscipline: NATURAL SCIENCES; Mathematics

Abstract

Pretpostavka mnogih teorija ljudskog ponašanja je da su ljudi racionalni. Međutim, postoje razni problemi u kojima iskustvo i emocije utječu na naše odluke, a koje tradicionalne financijske teorije ne mogu objasniti. Bihevioristička teorija financija je relativno nova disciplina koje kombinira bihevioralnu i kognitivnu psihologiju sa tradicionalnim financijskim teorijama kako bi objasnila zašto ljudi donose iracionalne financijske odluke. Jedan od primjera koje tradicionalne teorije ne mogu objasniti je Ellsbergov eksperiment u kojem nisu poznate vjerojatnosti svih mogućih događaja. Ellsbergov eksperiment moguće je objasniti pomoću Choquetove očekivane korisnosti. Eksperimenti upućuju na to da ljudi deformiraju vjerojatnost ovisno o tome je li ona mala ili velika te korisnost ovisno o tome je li neki iznos doživljen kao dobitak ili gubitak. Ove deformacije uvažava teorija izglednosti Kahnemana i Tverskog, koja je zbog izbora stohastički dominiranih prospekata modificirana u kumulativnu teoriju izglednosti. Dhami i al-Nowaihi ponudili su kompozitnu kumulativnu teoriju izglednosti koja dozvoljava da donositelji odluke imaju različitu percepciju rizika. Na kraju, dani su neki od razloga zašto se sudionici financijskog tržišta ponašaju iracionalno što često nije u njihovom najboljem interesu. Također, ponuđena je analiza dionica pomoću kapacitivne vrijednosti sa statičkim i dinamičkim referenciranjem koja uvažava deformaciju vjerojatnosti i korisnosti.

Abstract (english)

The assumption of various theories of human behavior is that people are rational. However, there are many examples where experience and emotions affect our decisions which conventional financial theories have failed to explain. Behavioral finance is a relatively new field that seeks to combine behavioral and cognitive psychological theory with conventional finance theory to provide explanations for why people make irrational financial decisions. One of the examples which can not be explained by conventional theories is the Elsberg’s experiment in which are not known probabilities of all possible events. The Elsberg’s experiment can be explained by Choquet’s expected utility. The experiments indicate that people distort probability depending on whether it is small or high and that they distort utility depending on whether the given amount is perceived as a gain or loss. These distortions are accepted by Kahneman and Tversky’s prospect theory which is, due to choice of stochastic dominated prospects, modified in cumulative prospect theory. Dhami and al-Nowaihi proposed composite cumulative prospect theory which allows that decision makers have different perception of risk. Finally, we give some of the reasons that cause people to behave irrationally which is often against their best interests. Also, we have offered stock analysis using capacitance value with static and dynamic reference which accepts probability and utility distortion.

• Keywords: bihevioristička teorija financija; Ellsbergov eksperiment; Choquetova očekivana korisnost; teorija izglednosti Kahnemana i Tverskog; Dhami; al-Nowaihi; kompozitna kumulativna teorija izglednosti
• Keywords (english): behavioral finance; Elsberg's experiment; Choquet’s expected utility; Kahneman and Tversky’s prospect theory; Dhami; al-Nowaihi; composite cumulative prospect theory
• Language: croatian
• URN:NBN: urn:nbn:hr:217:169440
• Study programme: Title: Finance and Business Mathematics; Study programme type: university; Study level: graduate; Academic / professional title: magistar/magistra matematike (magistar/magistra matematike)
• Type of resource: Text
• File origin: Born digital
• Access conditions: Access restricted to students and staff of home institution
• Created on: 2017-06-08 11:49:28