双曲折现、消费决策与套期保值策略  

Hyperbolic discounting,consumption decision and hedging rule

作　　者：王海军[1] 

机构地区：[1]上海财经大学应用数学系,上海200433

出　　处：《云南大学学报（自然科学版）》2010年第6期628-632,638,共6页Journal of Yunnan University(Natural Sciences Edition)

基　　金：国家自然科学基金资助项目(10771131);上海财经大学"211工程"三期重点学科建设项目

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.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.

关 键 词：消费 套期保值 双曲折现 风险资产 期货合约 

分 类 号：O224[理学—运筹学与控制论] F830[理学—数学]