Mathematical and Quantitative Aspects in Behavioural Finance Problems

迈尔斯在他的开创性论文《实物期权》中指出，实物（而非金融）投资决策与行使金融期权的决策有相似之处。因此，来自金融的发展可以用来评估实际投资项目并指导投资决策。实物期权在自然资源和环境（能源、生物多样性保护、资源管理）领域具有广泛的适用性。该建议的一个目标是在双曲时间折现下的实物期权。由于其经验性，双曲贴现最近受到了很多关注。金融市场正在经历一场危机。近年来，安全投资带来的回报异常低，寻求高额回报的金融机构交易极其复杂的工具。这些工具中有许多获得了投资级评级，它们的回报明显高于投资于无风险工具。高回报意味着高风险的法则似乎被忽视了。以下因素的组合：1)高杠杆；2)风险低估；3)无效的损失控制，促成了金融危机。

In his seminal paper 'Real Options' Steward Myers pointed out that that real (as opposed to financial) investment decisions had similarities with the decision to exercise a financial option. Consequently, developments from finance can be used to evaluate real investment projects and to guide investment decisions. Real options have a wide applicability in the area of natural resources and the environment (energy, biodivesity protection, resource management). One goal of this proposal is to real options under hyperbolic time discounting. Because of its empirical, hyperbolic discounting has received a lot of attention lately. Financial markets are going through a crisis. In recent years, safe investments delivered unusually low returns, and financial institutions seeking big returns traded extremely complicated instruments. Many of these instruments received investment-grade ratings, and their returns were significantly greater than investing in riskless instruments. The law that higher returns mean higher risk seemed to have been overlooked. The following combination of factors: 1) high leverage 2) risk underestimation and 3) inefficient loss control, contributed to the financial crises. Another goal of this proposal is to consider and to examine financial models to account for these factors. The outcome of this proposal will be interesting to the academic communities in Mathematics, Finance, Economics, Management Science and Operations Research. It will also be important to banks, financial corporations, financial industry, society and government of Canada.