王海军. 双曲折现、消费决策与套期保值策略[J]. 云南大学学报(自然科学版), 2010, 32(6): 628-632, .
引用本文: 王海军. 双曲折现、消费决策与套期保值策略[J]. 云南大学学报(自然科学版), 2010, 32(6): 628-632, .
Hyperbolic discounting,consumption decision and hedging rule[J]. Journal of Yunnan University: Natural Sciences Edition, 2010, 32(6): 628-632, .
Citation: Hyperbolic discounting,consumption decision and hedging rule[J]. Journal of Yunnan University: Natural Sciences Edition, 2010, 32(6): 628-632, .

双曲折现、消费决策与套期保值策略

Hyperbolic discounting,consumption decision and hedging rule

  • 摘要: 建立了基于双曲折现的消费-套期保值选择模型,求得了模型的最优解,讨论了最优的消费与套期保值策略,发现双曲折现只对消费决策有影响,而对套期保值策略没有影响,并且双曲折现的最优消费高于传统指数折现情形.

     

    Abstract: A consumption-hedging selection model based on hyperbolic discounting is constructed,the optimal solution for the model is derived,and the optimal consumption and hedging rule are discussed.It is found that hyperbolic discounting only affects consumption decision,while no effects on hedging rule.The optimal consumption under hyperbolic discounting is greater than that under the conventional exponential discounting.

     

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