Ensaio sobre o agente racional: esparadrapos para um paciente terminal?

The Rational Agent model have been a foundational basis for theoretical models such as Economics, Management Science, Artificial Intelligence and Game Theory, mainly by the ��maximization under constraints�� principle, e.g. the ��Expected Utility Models��, among them, the Subjective Expected Utility (SEU) Theory, from Savage, placed as most influence player over theoretical models we��ve seen nowadays, even though many other developments have been done, indeed also in non-expected utility theories field. Having the ��full rationality�� assumption, going for a less idealistic sight ��bounded rationality�� of Simon, or for classical anomalies studies, such as the ��heuristics and bias�� analysis by Kahneman e Tversky, ��Prospect Theory�� also by Kahneman & Tversky, or Thaler��s Anomalies, and many others, what we can see now is that Rational Agent Model is a ��Management by Exceptions�� example, as for each new anomalies��s presentation, in sequence, a ��problem solving�� development is needed. This work is a theoretical essay, which tries to understand: 1) The rational model as a ��set of exceptions��; 2) The actual situation unfeasibility, since once an anomalie is identified, we need it��s specific solution developed, and since the number of anomalies increases every year, making strongly difficult to manage rational model; 3) That behaviors judged as ��irrationals�� or deviated, by the Rational Model, are truly not; 4) That��s the right moment to emerge a Theory including mental processes used in decision making; and 5) The presentation of an alternative model, based on some cognitive and experimental psychology analysis, such as conscious and uncounscious processes, cognition, intuition, analogy-making, abstract roles, and others. Finally, we present conclusions and future research, that claims for deeper studies in this work��s themes, for mathematical modelling, and studies about a rational analysis and cognitive models possible integration. .

Finan��as comportamentais: o comportamento do agente decis��rio nos cen��rios de ganhos, perdas, riscos e incertezas

P��s-gradua����o em Economia - FCLAR

Firm Market Performance and Volatility in a National Real Estate Sector

We present empirical evidence using daily data for stock prices for 17 real estate companies traded in the Sao Paulo, Brazil stock exchange. from August 26, 2006 to March 31, 2010. We use the U.S. house price bubble, financial crisis and risk measures to instrument for momentums and reversals in the domestic real estate sector. We find evidence of conditional premium persistence and conditional volatility persistence in the market. We find that the conditional risk-return relationship in the sector is consistent with the prospect theory of risk attitudes in this period. Certain companies seem to be operating on a perceived potential industry return above the target, while most others are below the target, and the whole sector is below target on average. (C) 2011 Elsevier Inc. All rights reserved.

INFLUENCE OF DISCOUNT PRICE ANNOUNCEMENTS ON CONSUMER'S BEHAVIOR

The theoretical framework that underpins this research study is based on the Prospect Theory formulated by Kahneman and Tversky, and Thaler's Mental Accounting Theory. The research aims to evaluate the consumers' behavior when different patterns of discount are offered (in percentage and absolute value and for larger and smaller discounts). Two experiments were conducted to explore these patterns of behavior and the results that were obtained supported the view that the framing effect was a common occurrence. The patterns of choice of individuals in a sample were found to be different due to changes in the ways discounts were offered. This can be explained by the various ways of presenting discount rates that had an impact on the influence of purchase intentions, recommendations and quality perception.

Influence of discount price announcements on consumer's behavior

The theoretical framework that underpins this research study is based on the Prospect Theory formulated by Kahneman and Tversky, and Thaler's Mental Accounting Theory. The research aims to evaluate the consumers' behavior when different patterns of discount are offered (in percentage and absolute value and for larger and smaller discounts). Two experiments were conducted to explore these patterns of behavior and the results that were obtained supported the view that the framing effect was a common occurrence. The patterns of choice of individuals in a sample were found to be different due to changes in the ways discounts were offered. This can be explained by the various ways of presenting discount rates that had an impact on the influence of purchase intentions, recommendations and quality perception.

How expectations affect reference point formation: an experimental investigation

This paper addresses two major topics concerning the role of expectations in the formation of reference points. First, we show that when expectations are present, they have a significant impact on reference point formation. Second, we find that decision-makers employ expected values when forming reference points (integrated mechanism) as opposed to single possible outcomes (segregated mechanism). Despite the importance of reference points in prospect theory, to date, there is no standard method of examining these. We develop a new experimental design that employs an indirect approach and extends an existing direct approach. Our findings are consistent across the two approaches.

A model of factors determining levels of public support for health care policy in the United States

Public preferences for policy are formed in a little-understood process that is not adequately described by traditional economic theory of choice. In this paper I suggest that U.S. aggregate support for health reform can be modeled as tradeoffs among a small number of behavioral values and the stage of policy development. The theory underlying the model is based on Samuelson, et al.'s (1986) work and Wilke's (1991) elaboration of it as the Greed/Efficiency/Fairness (GEF) hypothesis of motivation in the management of resource dilemmas, and behavioral economics informed by Kahneman and Thaler's prospect theory. ^ The model developed in this paper employs ordered probit econometric techniques applied to data derived from U.S. polls taken from 1990 to mid-2003 that measured support for health reform proposals. Outcome data are four-tiered Likert counts; independent variables are dummies representing the presence or absence of operationalizations of each behavioral variable, along with an integer representing policy process stage. Marginal effects of each independent variable predict how support levels change on triggering that variable. Model estimation results indicate a vanishingly small likelihood that all coefficients are zero and all variables have signs expected from model theory. ^ Three hypotheses were tested: support will drain from health reform policy as it becomes increasingly well-articulated and approaches enactment; reforms appealing to fairness through universal health coverage will enjoy a higher degree of support than those targeted more narrowly; health reforms calling for government operation of the health finance system will achieve lower support than those that do not. Model results support the first and last hypotheses. Contrary to expectations, universal health care proposals did not provide incremental support beyond those targeted to ���deserving��� populations���children, elderly, working families. In addition, loss of autonomy (e.g. restrictions on choice of care giver) is found to be the ���third rail��� of health reform with significantly-reduced support. When applied to a hypothetical health reform in which an employer-mandated Medical Savings Account policy is the centerpiece, the model predicts support that may be insufficient to enactment. These results indicate that the method developed in the paper may prove valuable to health policy designers. ^

Asset Pricing with Heterogeneous Agents, Incomplete Markets and Trading Constraints

The consumption capital asset pricing model is the standard economic model used to capture stock market behavior. However, empirical tests have pointed out to its inability to account quantitatively for the high average rate of return and volatility of stocks over time for plausible parameter values. Recent research has suggested that the consumption of stockholders is more strongly correlated with the performance of the stock market than the consumption of non-stockholders. We model two types of agents, non-stockholders with standard preferences and stock holders with preferences that incorporate elements of the prospect theory developed by Kahneman and Tversky (1979). In addition to consumption, stockholders consider fluctuations in their financial wealth explicitly when making decisions. Data from the Panel Study of Income Dynamics are used to calibrate the labor income processes of the two types of agents. Each agent faces idiosyncratic shocks to his labor income as well as aggregate shocks to the per-share dividend but markets are incomplete and agents cannot hedge consumption risks completely. In addition, consumers face both borrowing and short-sale constraints. Our results show that in equilibrium, agents hold different portfolios. Our model is able to generate a time-varying risk premium of about 5.5% while maintaining a low risk free rate, thus suggesting a plausible explanation for the equity premium puzzle reported by Mehra and Prescott (1985).

An��lisis emp��rico del tr��fico en las autopistas de peaje radiales 3 y 5 de Madrid

El prop��sito de la presente investigaci��n es determinar si, a trav��s del estudio y an��lisis de los estudios de tr��fico en autopistas de peaje, se pueden determinar las razones de los incumplimientos en las previsiones de estos estudios. La metodolog��a se basa en un an��lisis emp��rico ex- post facto de los estudios de tr��fico contenidos en los anteproyectos de las autopistas Radial 3 y Radial 5 y los datos realmente verificados. Tras una introducci��n para presentar las principales caracter��sticas de las autopistas de peaje, se realiza una revisi��n de la bibliograf��a sobre el cumplimiento de las previsiones de tr��fico. Lo anterior permite establecer una serie de aspectos que pueden contribuir a estos incumplimientos, as�� como una serie de medidas encontradas para mejorar las futuras previsiones. Ya en el n��cleo fundamental de la investigaci��n, esta se centra en el an��lisis del cumplimiento de las previsiones de tr��fico contenidas en los anteproyectos de la Radial 3 y Radial 5. Se realiza un an��lisis cr��tico de la metodolog��a adoptada, as�� como de las variables e hip��tesis realizadas. Tras este primer an��lisis, se profundiza en la fase de asignaci��n de los estudios. Siempre con base a los tr��ficos reales y para el a��o 2006, se cuantifica el efecto en los incumplimientos, por un lado de las variables utilizadas, y por otro, del propio m��todo �� curva de asignaci��n. Finalmente, y con base en los hallazgos anteriores, se determinan una serie de limitaciones en el m��todo de asignaci��n de tr��ficos entre recorridos alternativos para el caso de entornos urbanos usado. El planteamiento con base a las teor��as del agente racional y maximizaci��n de la utilidad esperada es criticado desde la perspectiva de la teor��a de decisi��n bajo condiciones de riesgo planteada por Kahneman y Tversky. Para superar las limitaciones anteriores, se propone una nueva curva de asignaci��n semi emp��rica que relaciona la proporci��n del tr��fico que circula por la autopista de peaje con la velocidad media en la autov��a libre alternativa. ABSTRACT The aim of this research is to confirm whether the forensic analysis of the traffic forecast studies for tolled highways may bring to light the reasons behind the lack of accuracy. The methodology used on this research is empirical and is based on the ex ���post facto analysis of the real traffic numbers compared to the forecasted for the tolled highways Radial 3 and Radial 5. Firstly the main features of tolled highways are presented as an introductory chapter. Secondly a broad bibliographic search is presented, this is done from a global perspective and from the Spanish perspective too. From this review, a list of the main causes behind the systematic inaccuracy together with measures to improve future traffic forecast exercises are shown. In what we could consider as the core of the research, it focuses on the ratios of actual / forecast traffic for the tolled highways Radial 3 y Radial 5 in Madrid outskirts. From a critical perspective, the methodology and inputs used in the traffic studies are analysed. In a further step, the trip assignment stage is scrutinised to quantify the influence of the inputs and the assignment model itself in the accuracy of the traffic studies. This exercise is bases on the year 2006. Finally, the assignment model used is criticised for its application in tolled urban highways. The assumptions behind the model, rational agent and expected utility maximization theories, are questioned under the theories presented by Kahneman and Tversky (Prospect Theory). To overcome these assignment model limitations, the author presents a semi empiric new diversion curve. This curve links the traffic proportion using the tolled highway and the average speed in the toll free alternative highway.

Testing reference dependence, loss aversion and diminishing sensitivity in Spanish tourism

Based on Tversky and Kahneman���s Prospect Theory, we test the existence of reference dependence, loss aversion and diminishing sensitivity in Spanish tourism. To do this, we incorporate the reference-dependent model into a Multinomial Logit Model with Random Parameters -which controls for heterogeneity- and apply it to a sample of vacation choices made by Spaniards. We find that the difference between reference price and actual price is considered to make decisions, confirming that reference dependence exists; that people react more strongly to price increases than to price decreases relative to their reference price, which represents evidence in favor of the loss aversion phenomenon; and that there is diminishing sensitivity for losses only, showing convexity for these negative values.

Direct versus indirect channels: Differentiated loss aversion in a high���involvement, non���frequently purchased hedonic product

Purpose ��� This article aims to investigate whether intermediaries reduce loss aversion in the context of a high-involvement non-frequently purchased hedonic product (tourism packages). Design/methodology/approach ��� The study incorporates the reference-dependent model into a multinomial logit model with random parameters, which controls for heterogeneity and allows representation of different correlation patterns between non-independent alternatives. Findings ��� Differentiated loss aversion is found: consumers buying high-involvement non-frequently purchased hedonic products are less loss averse when using an intermediary than when dealing with each provider separately and booking their services independently. This result can be taken as identifying consumer-based added value provided by the intermediaries. Practical implications ��� Knowing the effect of an increase in their prices is crucial for tourism collective brands (e.g. ���sun and sea���, ���inland���, ���green destinations���, ���World Heritage destinations���). This is especially applicable nowadays on account of the fact that many destinations have lowered prices to attract tourists (although, in the future, they will have to put prices back up to their normal levels). The negative effect of raising prices can be absorbed more easily via indirect channels when compared to individual providers, as the influence of loss aversion is lower for the former than the latter. The key implication is that intermediaries can ��� and should ��� add value in competition with direct e-tailing. Originality/value ��� Research on loss aversion in retailing has been prolific, exclusively focused on low-involvement and frequently purchased products without distinguishing the direct or indirect character of the distribution channel. However, less is known about other types of products such as high-involvement non-frequently purchased hedonic products. This article focuses on the latter and analyzes different patterns of loss aversion in direct and indirect channels.

The Impact of Relationship Conflict on subjective Family Firm Valuation

The present paper empirically investigates the impact of family relationship conflict on subjective firm valuation by family firm owner managers. Drawing on the emerging socioemotional wealth perspective of corporate ownership, we find a U-shaped relationship between relationship conflict inside the family firm and subjective family firm valuation. This finding suggests that negatively valenced emotions induced by the conflict, at low levels of conflict, lead to emotion congruent withdrawal behavior and hence lower valuation. With conflicts gaining in fervor and severity, owner-managers start endowing and pricing sunk costs related to the conflict. This finding suggests that emotions do indeed have spill-over effects on monetary value perceptions and that negatively valenced emotions induced by relationship conflict are not linearly appraised. Rather, to understand the impact of negative emotions on corporate ownership appraisal and attachment it is required to reconcile the emotion congruency with the prospect theory perspective.

FINAN��AS COMPORTAMENTAIS EM DECIS��ES DE JOGOS DE EMPRESA NA GRADUA����O DA UMESP

Os 799 discentes presenciais cursando entre o 5�� a 8�� semestre que utilizam os jogos de empresas, inclusos nas 225 empresas ativas distribu��das entre os cursos de Administra����o geral; Com��rcio exterior; Administra����o financeira; Ci��ncias cont��beis e Ci��ncias econ��micas no campus Rudge Ramos da Universidade Metodista de S��o Paulo, foram submetidos a 6 cen��rios virtuais, com diferentes graus de complexidade, onde suas decis��es foram investigadas sob a ��tica dos aspectos heur��sticos, contidos em finan��as comportamentais, validando a hip��tese de que suas decis��es n��o s��o tomadas utilizando a teoria de mercado eficiente contida nas finan��as tradicionais, modelo este que pressup��e que seus agentes s��o racionais e maximizadores de benef��cios esperados, mas as tomam atrav��s das heur��sticas comportamentais de efeito certeza, reflex��o e isolamento, existentes no question��rio da Teoria do Prospecto, Nobel de economia em 2002 por introduzir os insights da pesquisa psicol��gica na ci��ncia econ��mica, especialmente no que diz respeito as avalia����es e tomada de decis��o sob incerteza, sugerindo uma mudan��a na fun����o linear da predile����o de perdas �� ganhos, constantes em finan��as tradicionais, para uma concavidade da fun����o utilidade para ganhos e convexas para perdas, utilizadas em heur��sticas comportamentais de Kahneman e Tversky (1979). Foi tamb��m efetuada uma an��lise de processos das 56 empresas virtuais contidas no 1�� quartil, escalonadas em ordem decrescente, gerando duas proxys de confirma����o dos resultados tabulados. Foi constatado uma superestima����o de resultados poss��veis ao inv��s de resultados prov��veis, demonstrando fantasias das habilidades dos jogadores, equipar��veis com os resultados de Weinstein (1980), em at�� 71% acreditando serem melhores do que realmente s��o. Al��m de an��lise Qui-Quadr��tica que confirmaram que os resultados da teoria do prospecto s��o equiprov��veis e equilibrados com o trabalho original, al��m do Teste-t entre amostras de vari��ncias equivalentes que geraram signific��ncia estat��stica, refor��ando o modelo. Tamb��m foi efetuado uma an��lise das decis��es por g��nero nas respostas, para comprovar a irrelev��ncia proposta por Hanna, Gutter e Fan (2001) quanto a predile����o e aceita����o ao risco.

Finan��as comportamentais: Diferen��as da avers��o �� perda entre alunos de administra����o de empresas e gest��o financeira

O objetivo desta disserta����o �� analisar avers��o �� perda dos estudantes do curso de administra����o de empresas e do curso de tecnologia em gest��o financeira, usando a reprodu����o do trabalho desenvolvido por Kahneman e Tversky (1979). Para tanto, foi realizada uma pesquisa em campo com estudantes em uma faculdade particular, localizada da cidade de S��o Paulo, onde pode ser aplicado o question��rio no modelo original proposto pelos pesquisadores Kahneman e Tversky (1979) e atrav��s dos resultados obtidos, foi recriada a teoria dos prospectos e constatou que um grupo de estudantes tem uma avers��o �� perda menor. Neste trabalho, foi feita uma revis��o bibliogr��fica sobre as principais mudan��as na ��rea financeira desde 1920 at�� atualidade, destacando a Teoria sobre Finan��as Modernas, a Hip��tese de Mercados Eficientes, Finan��as Comportamentais, Heur��sticas e Teoria do Prospecto. Os resultados apontam para a exist��ncia dos efeitos certeza, reflexo e isolamento. Foi poss��vel confirmar a exist��ncia de um comportamento diferente para o grupo de estudantes de administra����o. Dentre as principais conclus��es, os estudantes de administra����o, est��o reagindo de forma diferente que os estudantes de gest��o financeira. A forma����o dos respondentes mostrou-se um fator de diferencia����o entre os dois grupos. Os alunos de administra����o tem uma base de estudos sobre finan��as menor comparada com os estudantes de gest��o financeira e uma base de estudos maior em outras ��reas. Esse conhecimento mais abrangente na ��rea financeira, n��o trouxe nenhum diferencial para os estudantes de gest��o financeira, isso pode se dar por essa amostra ser basicamente de pessoas muito jovem que acabaram de sair do ensino m��dio e com pouca experi��ncia e entendimento do mercado financeiro.

The design of environmental test rigs

Product reliability and its environmental performance have become critical elements within a product's specification and design. To obtain a high level of confidence in the reliability of the design it is customary to test the design under realistic conditions in a laboratory. The objective of the work is to examine the feasibility of designing mechanical test rigs which exhibit prescribed dynamical characteristics. The design is then attached to the rig and excitation is applied to the rig, which then transmits representative vibration levels into the product. The philosophical considerations made at the outset of the project are discussed as they form the basis for the resulting design methodologies. It is attempted to directly identify the parameters of a test rig from the spatial model derived during the system identification process. It is shown to be impossible to identify a feasible test rig design using this technique. A finite dimensional optimal design methodology is developed which identifies the parameters of a discrete spring/mass system which is dynamically similar to a point coordinate on a continuous structure. This design methodology is incorporated within another procedure which derives a structure comprising a continuous element and a discrete system. This methodology is used to obtain point coordinate similarity for two planes of motion, which is validated by experimental tests. A limitation of this approach is that it is impossible to achieve multi-coordinate similarity due to an interaction of the discrete system and the continuous element at points away from the coordinate of interest. During the work the importance of the continuous element is highlighted and a design methodology is developed for continuous structures. The design methodology is based upon distributed parameter optimal design techniques and allows an initial poor design estimate to be moved in a feasible direction towards an acceptable design solution. Cumulative damage theory is used to provide a quantitative method of assessing the quality of dynamic similarity. It is shown that the combination of modal analysis techniques and cumulative damage theory provides a feasible design synthesis methodology for representative test rigs.