Mathematical and Quantitative Aspects in Behavioural Finance Problems

行为金融问题的数学和定量方面

• 批准号: RGPIN-2014-06452
• 负责人: Pirvu, Traian
• 金额: $ 1.02万
• 依托单位: McMaster University
• 依托单位国家: 加拿大
• 项目类别: Discovery Grants Program - Individual
• 财政年份: 2015
• 资助国家: 加拿大
• 起止时间: 2015-01-01 至 2016-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=589014
• 关键词: Mathematical; Quantitative; Aspects; Behavioural; Finance

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.

Steward Myers 在他的开创性论文“实物期权”中指出，实物（相对于金融）投资决策与行使金融期权的决策有相似之处。因此，金融的发展可用于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领域（能源、生物多样性保护、资源管理）具有广泛的适用性。该提案的目标之一是双曲线时间贴现下的实物期权。由于其实证性，双曲线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，安全投资的回报率异常低，而寻求高回报的金融机构则交易极其复杂的工具。其中许多工具获得了投资级评级，其回报明显高于投资无风险工具。高回报意味着高风险的定律似乎被忽视了。以下因素综合起来：1）高杠杆率2）风险低估和3）低效的损失控制，促成了金融危机。 该提案的另一个目标是考虑并检查财务模型以解释这些因素。该提案的结果将引起数学、金融、经济学、管理科学和运筹学学术界的兴趣。这对于加拿大的银行、金融公司、金融业、社会和政府也很重要。