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: 2016
• 资助国家: 加拿大
• 起止时间: 2016-01-01 至 2017-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=612229
• 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.

斯图尔特·迈尔斯在他的开创性论文《实物期权》中指出，实物(而不是财务)投资决策与行使财务期权的决策有相似之处。因此，金融学的发展可以用来评估真实的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。这一建议的目标之一是双曲时间贴现下的实物期权。由于它的经验性，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，安全投资带来的回报异常低，寻求高回报的金融机构交易的工具极其复杂。其中许多工具获得了投资级评级，它们的回报远远高于投资于无风险工具。高回报意味着高风险的定律似乎被忽视了。以下因素结合在一起：1)高杠杆率；2)低估风险；3)损失控制不力，导致了金融危机。 这项提案的另一个目标是考虑和审查考虑这些因素的财务模型。这项建议的结果将会引起数学、金融、经济学、管理科学和运筹学学术界的兴趣。这对加拿大的银行、金融企业、金融业、社会和政府也将是重要的。