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偏好与模糊:愿意为抽球游戏付多少钱

Personal Taste for Money

专题
General / 综合
难度
L4

题目详情

(a) An urn contains 10 black balls and 10 white balls, identical except for color. You choose "black" or "white." One ball is drawn at random, and if its color matches your choice, you get $1010, otherwise nothing. Write down the maximum amount you are willing to pay to play the game. The game will be played just once.

(b) A friend of yours has available many black and many white balls, and he puts

black and white balls into the urn to suit himself. You choose "black" or "white." A ball is drawn randomly from this urn. Write down the maximum amount you are willing to pay to play this game. The game will be played just once.

Problems without Structure (11 and 12)

Olaf Helmer and John Williams of The RAND Corporation have called my attention to a class of problems that they call "problems without structure," which nevertheless seem to have probabilistic features, though not in the usual sense.

解析

若按风险中性(只看期望收益)来定价:

(a) 罐中 10 黑 10 白,选对颜色赢 10,否则 0。最优策略是任选一种颜色(或随机选),胜率 1/2,期望收益为

1012=5.10\cdot\frac12=\boxed{5}.

(b) 朋友可任意放入黑白球且你不知道比例。你可以先用抛硬币随机选黑/白,从而无论朋友怎么配比,你的胜率至少为 1/2(当他全放某一色时正好是 1/2)。因此按最保守的最小化最大损失(minimax)思路,你至少也应愿意付到 5。

如果你对朋友的偏好/行为有额外信息,可能愿意付得更高;若存在强烈“模糊厌恶”,实际支付也可能低于 5。