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经济学 1944

博弈论与经济行为

约翰·冯·诺伊曼 与 奥斯卡·摩根斯特恩

把冲突与风险下的理性抉择,化为数学。

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In depth · the introduction

当你的最佳一步,取决于别人即将怎么走,寻常的数学便捉襟见肘了——于是两位思想家发明了「彼此揣度」的数学,以及当结局是一场赌博时、如何明智抉择的数学。

核心想法

在那之前,经济学大多设想的是一个孤身一人、面对固定价格的个体,就像在一家商店里购物,你做什么都改变不了价签。可现实中,处处都是「对你最好的做法,取决于别人怎么选」的情形——讨价还价、竞价投标、争抢顾客,甚至打牌时的虚张声势。冯·诺伊曼与摩根斯特恩主张,这些其实都是同一类问题:一场策略博弈。而且他们证明,这件事可以用严谨的数学来做,而非仅靠空泛的推断。

他们的第一个结论,颇为惊人。在一场严格竞争的二人博弈里——一方所赢,恰是另一方所输——只要你肯把自己的招数随机地混着出、让人看不透,那么,总存在一种可被证明为最佳的玩法。他们的第二个结论,则对付风险:他们造出了一种干净的办法,把你在「安全的赌注」与「赌博」之间的直觉偏好,化为实实在在的数字——一把私人的「效用」标尺——于是,理性的选择,无非就是那个期望效用最高的选项。

它是如何诞生的

约翰·冯·诺伊曼是那个世纪最伟大的数学家之一,一位神童,从量子力学到最早的计算机、再到原子弹,无所不涉。年轻时的 1928 年,他便证明了一条关于二人博弈的定理。奥斯卡·摩根斯特恩则是一位流亡到普林斯顿的奥地利经济学家,他深信经济学需要更牢固的数学根基,并为此一再进言。

二人在普林斯顿相遇,开始了一场远超彼此预想的合作——原本计划的一本小册子,膨胀成了一部 625 页的大书。它于 1944 年、第二次世界大战正酣之际出版,创立了一整门学科。出于诚实,须就功劳补上一笔:其中艰深的数学,压倒性地出自冯·诺伊曼之手;而摩根斯特恩的天赋,在于看见、并锲而不舍地论证——这些工具,本就属于经济学的核心。

它为何重要

在这本书之前,经济学家没有严谨的办法,去刻画「彼此揣度的人」。在它之后,「博弈论」成了一门横跨经济学、政治学、生物学与计算机科学的通用语言。同样重要的是,效用的想法,给了「风险厌恶」一个精确的含义——为什么稳拿的 40 美元,会比掷硬币博取 100 美元更让人安心——它坐落于保险如何定价、投资如何权衡的底层。后来的思想家也发现了这套理论的边界,而正是那些边界,催生了行为经济学这门领域。

一个可以想象的画面

想想剪刀石头布。如果你总出石头,一个机灵的对手就会总出布,每一局都赢你。唯一立于不败之地的方案,是随机化——三分之一出石头、三分之一出布、三分之一出剪刀——这样没人能预测你。冯·诺伊曼的极小极大定理说,每一场严格竞争的博弈,都恰有这样一种最佳的、不可预测的策略。而对于有风险的选择,效用曲线就像饥饿程度的差别:第一块披萨让你大快朵颐,第八块却几乎无感——于是一顿稳稳到手的饭,对你可能比博取一场盛宴更值钱。

一个可交互的决策面板:左侧是金钱效用曲线,右侧是与稳拿 40 美元相对的彩票转盘。滑动赌局的中奖机会与一个「谨慎」滑块,面板便会告诉你:是去赌、还是守住稳拿的钱,以及这场赌局对你值多少保底的金额。

它的位置

在亚当·斯密描绘出一个由独立交易者组成、被「看不见的手」引导的经济之后一个半世纪,这本书补上了那块缺失的拼图:当人们不只是对价格作出反应、而是主动彼此算计时,会发生什么。这条线索,继续穿过约翰·纳什——他 1950 年的均衡,把这个想法推广到了并非严格「你输我赢」的博弈——一直延伸到今天的拍卖设计师,以及那种让两个神经网络彼此对抗的「对抗式」训练。它也开启了一个后来被行为经济学搅得复杂起来的故事——人们发现,真实的人,并不总是服从期望效用那套整洁的逻辑。

The original document
Original source text

纲领——为经济学而用的数学

John von Neumann & Oskar Morgenstern · Theory of Games and Economic Behavior · 1944 · Ch. 1, §1.2
It is not that there exists any fundamental reason why mathematics should not be used in economics. The arguments often heard that because of the human element, of the psychological factors etc., or because there is — allegedly — no measurement of important factors, mathematics will find no application, can all be dismissed as utterly mistaken.
The reason why mathematics has not been more successful in economics must, consequently, be found elsewhere. … The lack of real success is largely due to a combination of unfavorable circumstances, some of which can be removed gradually. To begin with, the economic problems were not formulated clearly and are often stated in such vague terms as to make mathematical treatment a priori appear hopeless because it is quite uncertain what the problems really are.

经济为何是一场策略博弈

Ch. 1, §1.1 — Formulation of the Economic Problem
We hope to establish satisfactorily, after developing a few plausible schematizations, that the typical problems of economic behavior become strictly identical with the mathematical notions of suitable games of strategy.
It will be seen, however, that this theory of games of strategy is the proper instrument with which to develop a theory of economic behavior. One would misunderstand the intent of our discussions by interpreting them as merely pointing out an analogy between these two spheres. We hope to establish satisfactorily … that the typical problems of economic behavior become strictly identical with the mathematical notions of suitable games of strategy.

用赌局来度量效用(§3.3)

Ch. 1, §3.3 — The Notion of Utility
Let us for the moment accept the picture of an individual whose system of preferences is all-embracing and complete, i.e. who, for any two objects or rather for any two imagined events, possesses a clear intuition of preference.
If he now prefers A to the 50-50 combination of B and C, this provides a plausible base for the numerical estimate that his preference of A over B is in excess of his preference of C over A.
[ … ]
It is well known that thereby utilities — or rather differences of utilities — become numerically measurable. … We have practically defined a numerical scale for the quantity which we used to call ‘utility.’

署于何地、何时

The two authors — a Hungarian-born mathematician at the Institute for Advanced Study and an Austrian economist at Princeton — finished the preface to the first edition together.
Princeton, N. J. · January 1943