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: 2018
• 资助国家: 加拿大
• 起止时间: 2018-01-01 至 2019-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=662252
• 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.

管家在他的开创性论文“真实选择”中指出，这种真实（与财务）投资决策与行使财务选择的决定相似。因此，金融的发展可用于评估实际投资项目和指导投资决策。真正的选择在自然资源和环境领域具有广泛的适用性（能源，生物反应保护，资源管理）。该建议的目标之一是在双曲线折扣下进行真正的选择。由于其经验性，双曲线折扣最近引起了很多关注。金融市场正在遇到危机。近年来，安全投资提供了异常低的回报，而寻求大笔回报的金融机构则交易了极其复杂的工具。这些工具中的许多人都获得了投资级评级，其回报远高于投资无风险工具的投资。较高回报的法律意味着较高的风险似乎已经忽略了。因素的以下组合：1）高杠杆作用2）低估的风险低估和3）效率低下的损失控制，导致了金融危机。*该提案的另一个目标是考虑并检查财务模型以说明这些因素。该提案的结果将使数学，金融，经济学，管理科学和运营研究中的学术社区有趣。这对银行，金融公司，金融业，社会和加拿大政府也很重要。