本文選題：雙曲折現(xiàn)　切入點(diǎn)：偏好逆轉(zhuǎn)　出處：《湖南大學(xué)》2014年博士論文　論文類(lèi)型：學(xué)位論文

【摘要】：時(shí)間折現(xiàn)是目前行為經(jīng)濟(jì)學(xué)的前沿問(wèn)題,其中如何選擇一個(gè)合適的折現(xiàn)率在項(xiàng)目的成本收益分析中至關(guān)重要,尤其當(dāng)項(xiàng)目涉及時(shí)間很長(zhǎng)時(shí),折現(xiàn)率的一個(gè)微小變化都有可能決定該項(xiàng)目能否通過(guò)成本-收益分析。從八十年代開(kāi)始的實(shí)驗(yàn)經(jīng)濟(jì)學(xué)表明決策者的折現(xiàn)行為不滿足新古典經(jīng)濟(jì)學(xué)通常的假設(shè)-指數(shù)折現(xiàn)。在各個(gè)研究領(lǐng)域,指數(shù)折現(xiàn)理論正逐漸被折現(xiàn)率遞減的雙曲折現(xiàn)理論替代。然而,一方面,從現(xiàn)實(shí)問(wèn)題和實(shí)驗(yàn)結(jié)果脫胎而來(lái)的雙曲折現(xiàn)理論受到了各種各樣的質(zhì)疑；另一方面,雙曲折現(xiàn)導(dǎo)致最優(yōu)決策時(shí)間不一致,存在不可執(zhí)行性。而在連續(xù)隨機(jī)問(wèn)題中,由于問(wèn)題的復(fù)雜性,很難求出具體的解析解。因此,研究雙曲折現(xiàn)的合理性以及非指數(shù)折現(xiàn)下的時(shí)間一致投資決策問(wèn)題具有重要意義。本文以行為個(gè)體為主要研究對(duì)象,第2、3和4章研究第一問(wèn)題,第5章研究第二個(gè)問(wèn)題。 偏好逆轉(zhuǎn)現(xiàn)象作為指數(shù)折現(xiàn)的‘異象’存在,常常被用來(lái)當(dāng)作雙曲折現(xiàn)合理性的證據(jù)。本文第2章分析偏好逆轉(zhuǎn)現(xiàn)象是否總可以當(dāng)作雙曲折現(xiàn)合理性的證據(jù)。本章首先指出共時(shí)性和歷時(shí)性偏好逆轉(zhuǎn)現(xiàn)象的區(qū)別,并指出在折現(xiàn)函數(shù)滿足平穩(wěn)性假設(shè)時(shí),二者等價(jià)；然后說(shuō)明,當(dāng)滿足平穩(wěn)性假設(shè)時(shí),雙曲折現(xiàn)能夠解釋這兩種不同的偏好逆轉(zhuǎn)現(xiàn)象；其次,將決策者的不確定性生命和遺產(chǎn)效用納入到?jīng)Q策過(guò)程,構(gòu)建了一個(gè)折現(xiàn)函數(shù),在一定的情況下,該折現(xiàn)函數(shù)既不滿足平穩(wěn)性假設(shè)又不是雙曲型,能解釋歷時(shí)性偏好逆轉(zhuǎn)現(xiàn)象但是不能解釋共時(shí)性偏好逆轉(zhuǎn)現(xiàn)象,偏好逆轉(zhuǎn)現(xiàn)象在一定的情況下不能夠作為雙曲折現(xiàn)合理性的證據(jù)。 現(xiàn)有文獻(xiàn)認(rèn)為次可加折現(xiàn)現(xiàn)象不能被雙曲折現(xiàn)模型解釋,因而質(zhì)疑雙曲折現(xiàn)的合理性,第3章回答該質(zhì)疑。本章首先指出,在進(jìn)行跨期選擇時(shí),具有雙曲折現(xiàn)偏好的決策者對(duì)同一區(qū)間的折現(xiàn)會(huì)隨參考點(diǎn)的變化而變化,因此決策者可能希望以折現(xiàn)區(qū)間起點(diǎn)為參考點(diǎn),決策者對(duì)參考點(diǎn)的選擇會(huì)影響折現(xiàn)行為。有一些決策者傾向于低估未來(lái)偏好變化的程度-也稱(chēng)為投射偏見(jiàn)；然后指出這種投射偏好導(dǎo)致時(shí)間偏好被扭曲,這種扭曲可以看成是對(duì)次可加折現(xiàn)現(xiàn)象的一個(gè)可能的理論解釋,并指出那些質(zhì)疑雙曲折現(xiàn)的文獻(xiàn)忽略了參考點(diǎn)選擇以及投射偏見(jiàn)對(duì)折現(xiàn)的影響,次可加折現(xiàn)現(xiàn)象不能否定雙曲折現(xiàn)；最后指出,當(dāng)采用第2章提出的折現(xiàn)函數(shù),且將決策者按成熟程度分類(lèi),成熟型決策者和部分成熟型決策者也會(huì)具有次可加折現(xiàn)現(xiàn)象,決策者的參考點(diǎn)選擇以及成熟性導(dǎo)致出現(xiàn)次可加折現(xiàn)現(xiàn)象。 第4章利用拉姆齊最優(yōu)增長(zhǎng)模型,分析當(dāng)資本產(chǎn)出率不確定時(shí),確定性等價(jià)瞬時(shí)折現(xiàn)率的結(jié)構(gòu)。首先得到確定性等價(jià)瞬時(shí)折現(xiàn)率等于在風(fēng)險(xiǎn)調(diào)整密度函數(shù)下折現(xiàn)率的期望值,其中風(fēng)險(xiǎn)調(diào)整密度函數(shù)由資本產(chǎn)出率的密度函數(shù),延遲時(shí)間以及相對(duì)厭惡系數(shù)決定；然后指出確定性等價(jià)瞬時(shí)折現(xiàn)率隨延遲時(shí)間的增加而減小,具有雙曲性；最后給出了一個(gè)數(shù)值分析。 第5章研究當(dāng)時(shí)間偏好由隨機(jī)準(zhǔn)雙曲折現(xiàn)描述時(shí),Merton(1969,1971)提出的經(jīng)典有限期限投資-消費(fèi)決策的時(shí)間一致投資決策問(wèn)題。首先給出投資消費(fèi)模型以及決策者的時(shí)間偏好；然后分析有限期限成熟型決策者的HJB方程,并進(jìn)而推出無(wú)限期限成熟型決策者的HJB方程；其次分析對(duì)數(shù)和冪效用函數(shù)下的時(shí)間一致消費(fèi)-儲(chǔ)蓄和投資組合策略；最后給出比較動(dòng)態(tài)行為分析和數(shù)值分析。
[Abstract]:Time discounting is the current frontier issue of behavioral economics, including how to choose a suitable discount rate is very important in the cost-benefit analysis of the project, especially when the project involves a long time, a small changes in the discount rate are likely to decide whether the project through the cost-benefit analysis. From the experimental economics began in 80s show that the discount behavior of decision makers do not satisfy the assumptions of neoclassical economics usually discounted the index. In various research fields, the discount index theory is gradually being the discount rate decreasing hyperbolic discounting theory substitution. However, on one side, from the practical problems and the experimental results born out of the hyperbolic discounting theory by the various questions; on the other hand, hyperbolic discounting leads to the optimal decision-making time is not the same, there is no execution. But in continuous random problems, because of the complexity of the problem, it is not easy to produce Therefore, it is of great importance to study the rationality of hyperbolic discounting and the time consistent investment decision making problem under non exponential discounting. In this paper, behavior subjects are selected as the main research objects, the first and the 4 chapters are the first ones. The fifth chapter studies second problems.
The preference reversal phenomenon as index discount "vision exists, is often used as the rationality of hyperbolic discounting evidence. The second chapter analyzes the preference reversal phenomenon is always as hyperbolic discounting rationality of evidence. This chapter points out the difference of preference reversal phenomenon and diachronic synchronic, and pointed out that the discount function satisfies stationarity the two hypothesis, then, when the equivalent; meet the stationarity assumption, hyperbolic discounting can explain the two different preference reversal; secondly, decision makers will be included in the uncertainty of life and heritage to utility decision-making process, construct a discount function, under certain circumstances, the discount function is do not satisfy the stationarity assumption is not hyperbolic, can explain the diachronic preference reversal but cannot explain the preference reversal phenomenon is, the preference reversal phenomenon not in certain circumstances Sufficient evidence for the reasonableness of hyperbolic discounting.
The existing literature that can not be explained with the discount phenomenon of hyperbolic discounting model, thus questioning the rationality of hyperbolic discounting, the third chapter to answer the questions. This chapter points out in intertemporal choice, with hyperbolic discounting preferences of the decision makers on the same interval discount will change according to the reference point and therefore decision may wish to discount the interval starting point as a reference point, decision makers in the choice of the reference point will affect the discount behavior. There are some decision makers tend to underestimate the extent of future preference change - also known as projection bias; then pointed out that this projection to partial time preference is distorted, this distortion can be seen as a possible explanation for the the theory of subadditive discount phenomenon, and pointed out that those who questioned the hyperbolic discounting literature ignores effects of reference point selection and projection bias on the discount, can not add the discount phenomenon of double negation Finally, twists and turns; when the second chapter proposed the discount function, and making classification according to the degree of maturity, mature and mature type of decision makers decision makers will have a subadditive discounting phenomenon, the selection of reference points for policymakers and the maturity of the resulting sub additive discount phenomenon.
The fourth chapter is the analysis of the Ramsay optimal growth model, when the rate of the capital output uncertainty, certainty equivalent instantaneous discount rate structure. Firstly, get the certainty equivalent instantaneous risk adjusted discount rate equal to the density function under the discount rate expectations, the risk adjusted capital output ratio of the density function by density function, delay time and relative aversion coefficient the decision; and pointed out the certainty equivalent instantaneous discount rate increased with the increase of delay time decreases, the hyperbolic; finally a numerical analysis.
The fifth chapter studies when time preference is described by stochastic quasi hyperbolic discounting, Merton (19691971) classic finite period of investment and consumption decision made by the same time investment decision problem. Firstly, investment consumption model and the decision maker's time preference; HJB equation and analysis of finite period of mature type of decision makers, and then launched the HJB equation infinite period mature type of decision makers; followed by analysis of logarithmic and power utility function of the time consumption and savings and portfolio strategy; finally, compare the dynamic behavior analysis and numerical analysis.

【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F830.59;F224

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本文編號(hào)：1606856