[pt] Baseado na Teoria Cumulativa da Perspectiva, três ensaios são apresentados nessa tese. Todos os três trabalhos estão conectados pelo entendimento aprofundado da Função de Ponderação de Probabilidade e suas conexões cenários de decisão sob risco. O primeiro ensaio é um trabalho empírico utilizando a teoria da perspectiva para analisar o viés do efeito de enquadramento em decisões de investimentos em certos países emergentes: Brasil, China, Russia, México e África do Sul. Em todos os casos, identificamos empiricamente o poder preditivo da teoria da perspectiva para os retornos dos ativos. Também encontramos que a função de ponderação de probabilidade é o fator mais importante para o poder preditivo. O segundo ensaio é um trbalho teórico propondo uma axiomatização da função de ponderação de Goldstein-Einhorn. Desde 1987, a conhecida função de ponderação de Goldstein-Einhorn é largamente utilizada em trabalhos em muitos artigos empíricos e teóricos. Richard Gonzalez e GeorgeWu propuseram uma axiomatização para esta função em 1999. O trabalho que apresentamos analisa a condição de preferência dos autores e encontra uma família maior de funções de ponderação. Fornecemos exemplos úteis e sugerimos uma nova condição de preferência que é necessária e suficiente para a função de Goldstein- Einhorn. Esta nova condição de prefer6encia simula o comportamento das pessoas em situações que envolvem atitutes arriscadas. O terceiro ensaio propõe uma medida para as características psicológicas chamadas de atratividade e discriminabilidade, no contexto das funções de ponderação de probabilidades. Esse conceitos são importantes para nos ajudar a entender como algumas emoções influenciam nosso comportamento. Propomos medidas no sentido absoluto e relativo e as comparamos com alguns exemplos particulares encontrados na literatura. Nossos resultados são consistentes com o entendimento qualitativo encontrado na literatura e fornece um entendimento quantitativo para ele. / [en] Based on Cumulative Prospect Theory, three essays are presented in this thesis. All three works are linked by a deeper understanding of Probability Weighting Functions and its connection with decisions in a risk scenario. The first essay is an empirical work using prospect theory to analyze the narrow framing bias in investment decisions in certain emerging countries: Brazil, China, Russia, Mexico and South Africa. In all cases, we empirically identified the predictive power of prospect theory for stock returns. We also found that the probability weighting function is the most important factor in this predictive power. The second essay is a theoretical work proposing an axiomatization for the Goldstein-Einhorn weighting function. Since 1987, the well known Goldstein- Einhorn Weighting Function is widely used in many empirical and theoretical papers. Richard Gonzalez and George Wu proposed an axiomatization for it in 1999. The present work analyses their preference condition and finds a bigger family of weighting functions. We provide useful examples and suggest a new preference condition which is necessary and sufficient for Goldstein-Einhorn function. This new preference condition simulates the behavior of people in risky attitudes. The third essay propose a measure to evaluate the psychological features of attractiveness and discriminability in the context of probability weighting functions. These concepts are important to help us understand how some emotions drive our behavior. We propose measures in absolute and in the relative sense and compare with some particular cases found in the literature. Our findings are consistent with the qualitative understanding widespread in the literature and provide a quantitative analysis for it.

No description available.

[pt] O objetivo desse trabalho é observar, com base no modelo de Chang, Cheng e Khorana (2000), se há indícios de que houve efeito manada no mercado de ações brasileiro no período que compreende entre 2010 e 2015. Esse período é marcado por forte instabilidade política e econômica do Brasil e pode-se notar uma grande volatilidade no índice Bovespa. Essa dissertação de mestrado tem por objetivo avaliar, sob os aspectos de finanças comportamentais, se há ou não indícios de que houve algum movimento de efeito manado em um período recente no mercado de ações brasileiro. Outros estudos já testaram o modelo de Cheng et. Al em outros mercados e no próprio mercado brasileiro em períodos diferentes. Após a análise dos resultados do modelo no período citado, não foi possível encontrar indícios de efeito manada no mercado brasileiro. / [en] The aim of this study is to observe, based on the model of Chang, Cheng and Khorana (2000), if there is evidence that there were herding in the Brazilian stock market in the period that goes from 2010 to 2015. This period was marked by a strong political and economic instability and it is possible to notice a great volatility in the Bovespa index. This dissertation aims at evaluating, under the behavioral finance aspects, whether or not there is any indication that there has been any movement of herding in a recent period in the Brazilian stock market. Other studies have already tested the model of Cheng et. Al in other markets and in the Brazilian market itself in different periods. After analyzing the results of the model in the mentioned period, it was not possible to find evidence of a herd behavior in the Brazilian market.

Магистерская диссертация посвящена анализу специфики инвестиционной деятельности на финансовом рынке и формированию наиболее оптимальной структуры инвестиционного портфеля. Целью исследования является формирование инвестиционных портфелей для разных возрастных групп частных инвесторов. Научной новизной исследования являются моделирование инвестиционных портфелей с заданными критериями оптимизации, авторские рекомендации по инвестированию, дополнение классификации рисков инвестирования на финансовом рынке, выделение критериев выбора биржевого брокера. / The master's thesis is devoted to the analysis of specifics of investment activity in the financial market and formation of the most optimal theoretical base for trading on stock exchange. The purpose of the study is to form invest portfolio for different age groups of private investors. The scientific novelty of the research is the modeling of investment portfolios with specified optimization criteria, author's recommendations for investment, addition of a classification of investment risks in the financial market, and selection of criteria for choosing a stock broker.

On February 24, 2022, Russia launched a full-scale invasion into Ukraine under orders of Vladimir Putin. The invasion subsequently inspired a debate on the rationality behind this decision. The existing academic debate into the decision behind the invasion has identified both external and internal factors which can explain why this specific action may have been taken but has omitted a nuanced answer on clarifying the extent of Putin’s military actions. Prospect theory dictates that people under conditions of risk are more likely to be risk acceptant if they have experienced the context leading up to the decision to be one in which they have experienced losses. This thesis aims to explore how prospect theory can contribute to an understanding of Putin’s decision to invade Ukraine by employing a congruence analysis case-study approach. It concludes that the principles of prospect theory provide a substantiated explanation as to why Putin chose a full-scale invasion into Ukraine, demonstrating that Putin found himself in a domain of losses and opted for the option with the highest outcome uncertainty. Moreover, prospect theory also adds nuance to the existing academic debate by defining rationality as a scale with intervening factors, demonstrating that Putin’s decision-making rationality may have been impacted by his framing of losses.

No description available.

The purpose of this research was to explore the effects of small monetary or economic gains and/or losses on choice behavior through the use of a computerized game and to determine gain/loss ratio differences using both behavioral and electrophysiological measures. Participants (N=53) played the game in several 36 minute sessions. These sessions operated with concurrent variable-interval schedules for both rewards and penalties. Previously, asymmetrical effects of gains and losses have been identified through cognitive studies, primarily due to the work of nobel laureates Daniel Kahneman and Amos Tversky (1979). They found that the effect of a loss is twice (i.e., 2:1) that of a gain. Similar results have been observed in the behavioral laboratory as exemplified by the research of Rasmussen and Newland (2008), who found a 3:1 ratio for the effect of losses versus gains. The asymmetry of gains and losses was estimated behaviorally and through event-related brain potentials (ERPs) and the cognitive (Kahneman and Tversky) and behavioral (Rasmussen and Newland) discrepancy elucidated. In the game, the player moves an animated submarine around sea rocks to collect yellow coins and other treasures on the sea floor. Upon collecting a coin, one of three things can happen: The player triggers a penalty (loss), the player triggers a payoff (gain), or there is no change. The behavioral measures consisted in counting the number of clicks, reinforces, and punishers and then determining ratio differences between punished (loss) and no punished condition (gain) conditions. The obtained gain/loss ratio corresponded to an asymmetry of 2:1. Similarly ratio differences were found between male and female, virtual money and cash, risk averse versus risk seeking, and generosity versus profit behavior. Also, no ratio difference was found when players receive information about other player's performances in the game (players with information versus players without information). In electroencephalographic (EEG) studies, visual evoked potentials (VEPs) and ERPs components (e.g., P300) were examined. I found increased ERP amplitudes for the losses in relation to the gains that corresponded to the calculated behavioral asymmetry of 2:1. A correlational strategy was adopted that sought to identify neural correlates of choice consistent with cognitive and behavioral approaches. In addition, electro cortical ratio differences were observed between different sets of electrodes that corresponded to the front, middle, and back sections of the brain; differences between sessions, risk averse and risk seeking behavior and sessions with concurrent visual and auditory stimuli and only visual were also estimated.

Esta tesis se compone de dos partes separadas y sin relación entre ellas. El primer capítulo, coautorado con el Profesor Greg Barron, es un experimento en toma de decisiones individuales. Este capítulo se construye a partir de una literatura creciente, que enfatiza el siguiente punto: cuando aprendemos las probabilidades y los resultados de una lotería a través de la experiencia en vez de la descripción visual del problema -un prospecto- entonces tomamos decisiones como si estuviéramos devaluando eventos poco probables. Esto contrasta con el fenómeno bien conocido de que las probabilidades pequeñas suelen sobrevaluarse cuando se toman decisiones a partir de prospectos. Nuestro trabajo contribuye a la literatura dando fuerza al punto mencionado frente a algunas críticas. En particular, nosotros encontramos que la devaluación sobrevive la eliminación de un problema de muestreo que afectaba trabajos anteriores y está correcto en el nuestro. Encontramos tambi´en que hay devaluación de probabilidades pequeñas vii en toma de decisiones al mismo tiempo que sobrevaluación en juicio sobre las mismas probabilidades. Este útimo resultado no puede ser explicado. El segundo capítulo introduce una nueva teoría de integración vertical a partir del hecho de que aumentar el poder contractual de una empresa es citado muy a menudo como una razón para integrarse verticalmente con los proveedores. En mi modelo las empresas se integran para ganar poder contractual hacia proveedores no integrados en la cadena productiva. El coste de la integración es una pérdida de flexibilidad a la hora de escoger los proveedores más apropiados para un particular producto final. Muestro como las empresas que tienen inversiones más específicas en el proceso productivo tienen un ayor incentivo a integrarse. La teoría presentada permite explicar numerosos hechos estilizados como el efecto del desarrollo financiero sobre la estructura vertical de las empresas, la evolución que se observa de inversión extranjera directa a outsourcing en el comercio internacional, la conexi´on entre ciclo de vida del producto y la estructura vertical, etc. / This thesis is composed of two separate, unrelated chapters. Chapter I, coauthored with Greg Barron, is an experiment in individual decision making. It builds on a small and growing literature which makes the following point: whenever we learn the odds and outcomes of a binary choice problem through experience rather than from a visual description -a prospect- then we take decisions as if we were underweighting rare events. This is in contrast to the well known phenomenon of overweighting rare events in prospect based decisions. Our work contributes to the literature by strengthening this finding in the face of earlier criticism. In particular we find that the underweighting is robust to the elimination of sampling bias which affected previous studies and is absent from ours. We also find that underweighting in choice happens at the same time as overweighting in probability judgment. This remains unexplained. Chapter II introduces a new theory of vertical integration building on the fact that improving a company's bargaining position is often cited as a chief motivation to vertically integrate with suppliers. In my model firms integrate to gain bargaining power against other suppliers in the production process. The cost of integration is a loss of flexibility in choosing the most suitable suppliers for a particular final product. I show that the firms who make the most specific investments in the production process have the greatest incentive to integrate. The theory provides novel insights to the understanding of numerous stylized facts such as the effect of financial development on the vertical structure of firms, the observed pattern from FDI to outsourcing in international trade, the connection between product cycle and vertical structure, etc.

L’interaction homme-robot est un domaine qui en est encore à ses balbutiements.Les développements se sont avant tout concentrés sur l’autonomie et l’intelligence artificielle et doter les robots de capacités avancées pour exécuter des tâches complexes. Dans un proche avenir, les robots développeront probablement la capacité de s’adapter et d’apprendre de leur environnement. Les robots ont confiance, ne s’ennuient pas et peuvent fonctionner dans des environnements hostiles et dynamiques - tous des attributs souhaités à l’exploration spatiale et aux situations d’urgence ou militaires. Ils réduisent également les coûts de mission, augmentent la flexibilité de conception et maximisent la production de données. Cependant, lorsqu’ils sont confrontés à de nouveaux scénarios et à des événements inattendus, les robots sont moins performants par rapport aux êtres humains intuitifs et créatifs (mais aussi faillibles et biaisés). L’avenir exigera que les concepteurs de mission équilibrent intelligemment la souplesse et l’ingéniosité des humains avec des systèmes robotiques robustes et sophistiqués. Ce travail de recherche propose un cadre formel, basé sur la théorie de jeux, pour une équipe de drones qui doit coordonner leurs actions entre eux et fournir à l’opérateur humain des données suffisantes pour prendre des décisions « difficiles » qui maximisent l’efficacité de la mission, selon certaines directives opérationnelles. Notre première contribution a consisté à présenter un cadre décentralisé et une fonction d’utilité pour une mission de patrouille avec une équipe de drones. Ensuite, nous avons considéré l’effet de cadrage, ou « framing effect » en anglais, dans le contexte de notre étude,afin de mieux comprendre et modéliser à terme certains processus décisionnels sous incertitude.Ainsi, nous avons réalisé deux expérimentations avec 20 et 12 participants respectivement. Nos résultats ont révélé que la façon dont le problème a été présenté (effet de cadrage positif ou négatif), l’engagement émotionnel et les couleurs du texte ont affecté statistiquement les choix des opérateurs humains. Les données expérimentales nous ont permis de développer un modèle d’utilité pour l’opérateur humain que nous cherchons à intégrer dans la boucle décisionnelle du système homme-robots. Enfin, nous formalisons et évaluons l’ensemble du cadre proposé où nous "fermons la boucle" à travers une expérimentation en ligne avec 101 participants. Nos résultats suggèrent que notre approche permet d’optimiser le système homme-robots dans un contexte où des décisions doivent être prises dans un environnement incertain. / Human-robot interaction is a field that is still in its infancy. Developments havefocused on autonomy and artificial intelligence, and provide robots with advanced capabilitiesto perform complex tasks. In the near future, robots will likely develop the ability to adapt andlearn from their surroundings. Robots have reliance, do not get bored and can operate in hostileand dynamics environments - all attributes well suited for space exploration, and emergency ormilitary situations. They also reduce mission costs, increase design flexibility, and maximizedata production. However, when coped with new scenarios and unexpected events, robots palein comparison with intuitive and creative human beings. The future will require that missiondesigners balance intelligently the flexibility and ingenuity of humans with robust and sophisticatedrobotic systems. This research work proposes a game-theoretic framework for a drone teamthat must coordinate their actions among them and provide the human operator sufficient datato make “hard” decisions that maximize the mission efficiency, according with some operationalguidelines. Our first contribution was to present a decentralized framework and utility functionfor a drone-team patrolling mission. Then, we considered the framing effect in the context of ourstudy, in order to better understand and model certain human decision-making processes underuncertainty. Hence, two experiments were conducted with 20 and 12 participants respectively.Our findings revealed that the way the problem was presented (positive or negative framing), theemotional commitment and the text colors statistically affected the choices made by the humanoperators. The experimental data allowed us to develop a utility model for the human operatorthat we sought to integrate into the decision-making loop of the human-robot system. Finally,we formalized and evaluated the close-loop of the whole proposed framework with a last onlineexperiment with 101 participants. Our results suggest that our approach allow us to optimize thehuman-robot system in a context where decisions must be made in an uncertain environment.

Abstract This dissertation contributes to the research on behavioral biases among individual investors by demonstrating how investors increase their portfolio volatility, i.e., risk, following favorable outcomes. This work also shows the influence of the first investment on subsequent risk-taking preferences. It also shows how stock prices, through unrealized capital gains, create an evident momentum effect following both bull and bear markets. The work is quite new because house money, quasi-hedonic editing rules and mental accounting are not frequently used in the financial literature. The data used are from the Finnish Central Securities Depository (FCSD), which is unique in the financial research literature. The results of the first essay indicate that individual investors purchase stocks that increase portfolio risk or volatility after a period of negative market returns. These results propose that investors attribute these returns to themselves. Therefore, they are supporting a self-attribution bias. Ergo, investors gamble with their winnings over the next investment session. This behavior is consistent with the house money effect, which has not been before analyzed in the background of the stock market. Inexperienced investors are particularly prone to this effect. The second essay investigates the effect of the outcome of the first investment on subsequent risk-taking preferences, which has not been previously analyzed in the context of financial markets. The database allows for analyses of new investors making their first stock market investment. The results show that in first or subsequent investments the win effect is stronger. The effect in the first investment situation results in higher volatility. Therefore, the result suggests that realized money is more likely to be risked in the situation of the first stock than in the situation of the other stocks. The third essay, using a technique not before applied to research regarding momentum asymmetry, shows that deviations from the holdings- or volume-based reference price, i.e., the so-called capital gains overhang, can account for momentum. The results propose that after accounting for the disposition effect, overconfidence and biased self-attribution are not able to explain momentum asymmetry. / Tiivistelmä Väitöskirja edistää yksittäisten sijoittajien käyttäytymishäiriöitä koskevaa tutkimusta osoittamalla, kuinka sijoittajat lisäävät salkun riskiä myönteisten tulosten jälkeen. Väitöskirja osoittaa myös, kuinka sijoittajat lisäävät salkun riskisyyttä ensimmäistä investointia myöhemmille riskinottopäätöksille. Se esittää myös, kuinka realisoitumattomat myyntivoitot aiheuttavat ilmeisen momentum-vaikutuksen, sekä nousevilla että laskevilla markkinoilla. Teos on melko uusi, koska talon rahoilla pelaamista, lähes-hedonisia muokkaussääntöjä ja henkistä kirjanpitoa ei käytetä kovin paljon talouskirjallisuudessa. Käytetyt tiedot ovat Rahoitustutkimuksen ainutlaatuinen Suomen Arvopaperikeskus (FCSD) aineisto. Ensimmäisessä esseessä, kun sijoittajat ovat saavuttaneet tuottoja negatiivisten markkinatuottojen jälkeen, he ostavat osakkeita, jotka lisäävät salkun riskisyyttä. Nämä tulokset viittaavat siihen, että sijoittajat määrittävät nämä tuotot itselleen. Siksi he tukevat itsemääräämisoikeutta, joten sijoittajat pelaavat voitoillaan seuraavan sijoituskauden aikana. Käyttäytyminen on yhdenmukainen talon rahan vaikutuksen kanssa. Vaikutus, jota ei ole aiemmin analysoitu osakemarkkinoiden yhteydessä. Kokemattomat sijoittajat ovat erityisen alttiita tästä vaikutuksesta. Toinen essee tutkii ensimmäisen investoinnin tuloksen vaikutusta myöhempään riskinottopäätökseen. Sitä ei ole aiemmin analysoitu rahoitusmarkkinoiden yhteydessä. Tietokannan avulla analysoidaan uusia sijoittajia, jotka tekevät ensimmäisen pörssi-investoinninsa. Tulokset osoittavat, että kummassakin tapauksessa, ensimmäiset tai toiset voitot, voittoefektit ovat voimakkaammat kuin voitto-dummy ja ensimmäisellä tasolla olevat voitot antavat suuremman vaikutuksen riskisyyteen. Kiinnostavaa on se, että tulo, joka kertoo, onko realisoitunut raha todennäköisemmin riski ensimmäisessä osakkeessa, on suurempi kuin riski muissa osakkeissa. Kolmas essee käyttää menetelmää, jota ei ole aikaisemmin käytetty momentum-symmetrian tutkimukseen. Tämä tutkimus osoittaa, että poikkeamat volyymi- tai omistukseen perustuvasta viitehinnasta, eli ns. myyntivoiton ylitys, voivat selittää momentumia. Tulokset viittaavat siihen, että disposition ja liiallisen itseluottamuksen ja harhaisen itse-attribuution jälkeen ei voida suurella todennäköisyydellä selittää momentumin epäsymmetriaa.