Dissertation > Excellent graduate degree dissertation topics show

Research on Investment under Agent Time-Inconsistent

Author: ChenJi
Tutor: CaoGuoHua
School: Chongqing University
Course: Technology Economics and Management
Keywords: Option Pricing Real Options Time Preference Optimal Investing Time
CLC: F830.59
Type: Master's thesis
Year: 2009
Downloads: 149
Quote: 2
Read: Download Dissertation

Abstract


The purpose of this paper is providing a new research direction for investment decision research through studying the micro-individual differences’ impact on the choice of optimal investment time. Based on the research of financial option pricing, and the foreign scholars’ research on people’s time preference, linked by the real option pricing theory, we bring the time preference factor into the numerical method of Euro Option & American Option pricing, and then find the interaction between investors’ time preference inconsistent and the flexible value of available investing project.In the main part of this paper, we classify the investor to two parts. Refer to one kind of investors, their invest actions exist time-inconsistent, furthermore their later investing action can confirm their arranged plan. Another kind of investors, their invest actions also exist time-inconsistent, but their later investing action cannot confirm their arranged plan. In other words, the second kind investors lack self-control, their arranged investing design will change with time elapsing. According to some socialists and psychologists’ action experiments, majority of people belong to the second class. Based on these experiments and research theories, combined some cases, we create models to express the characteristics of peoples’ time-inconsistent and lacking self-control, program numerical computer procedure, and process numerical calculation. Further, refer to the difference of two kinds of investors, we analyze their individual time preference characteristics’ effects on the project flexible value and optimal investing time.At last, we find the project flexible value to the first kind investors is higher than the second investors’. Due to this result, we know the second kind investors will execute their option earlier than the first kind investors. To some extent, this result can explain the phenomenon of excess investment.

Related Dissertations

  1. Research on Investment Decision Method in Oil Exploration Project Base on B-S Model,F272;F224
  2. Research of Project Decision-Making Based on Term Structure Model of Interest Rates,F283
  3. House demolition prices based on real option assessment study,F293.3
  4. Pricing Discrete Double-barrier Option under a Hyper-exponential Jump-diffusion Model,F830.9
  5. Options Game Approach in Insurance Pricing,F840
  6. American Option Pricing under Stochastic Market Option Model Based on Dividend and Treatment Fees,O211.6
  7. The Research on Pricing Models of China Warrants Market,F832.51
  8. A Study on Exotic Options Pricing with Change Exercise Price,F830.9
  9. Certain Option Pricing Formulas under Stochastic Interest Rate,F830.9
  10. Credit card annual fee pricing model,F832.2
  11. The Study of the Enterprise M&A Value Based on the Theory of Real Options,F271
  12. The Value of the Managerial Flexibility in R&D Projects--the Application of Real Option in Evaluation of R&D Projects,F273.1
  13. Stochastic Percolation Stock Price Modeling and Option Price Research,F830.91
  14. Option in business valuation,F275
  15. The Research of Investment and Financing Mode about Smart Grid Based on Distribution Network Reconstruction,F406.72
  16. Research on Concession Period Identifying for TOT Project Financing Based on Real Options,F284
  17. A Research on Enterprise Valuation Methods in M & A,F224
  18. Tourism project investment decision model and prediction of benefit,F224
  19. Interest rate market analysis under the SME Financing,F832.4
  20. MCMC-GARCH Option Pricing Method,F224
  21. Our investment value of companies listed on GEM research,F832.51

CLC: > Economic > Fiscal, monetary > Finance, banking > Finance, banking theory > Investment
© 2012 www.DissertationTopic.Net  Mobile