时间不一致性下消费金融公司的最优退出选择——基于实物期权视角  

The optimal exit choice of consumer finance companies under time inconsistent preference——Based on the perspective of real options

作　　者：黄文礼 高泽融 吕柏霖 母从明 HUANG Wenli;GAO Zerong;LÜBolin;MU Congming(China Academy of Financial Research,Zhejiang University of Finance and Economics,Hangzhou 310018,China;College of Finance and Statistics,Hunan University,Changsha 410006,China)

机构地区：[1]浙江财经大学中国金融研究院,杭州310018 [2]湖南大学金融与统计学院,长沙410006

出　　处：《系统工程理论与实践》2022年第8期2102-2113,共12页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(71971192);教育部人文社会科学研究青年基金(19C11482075);浙江省自然科学基金(LY19G010005)。

摘　　要：基于实物期权理论,本文构建了时间不一致偏好下的消费金融公司退出转让模型,从而研究和探讨了消费金融公司主动转让业务并退出经营的可能性.将消费金融公司管理者的退出选择看作美式看涨期权的最优行权问题,利用动态规划和最优停时理论,本文求解了时间偏好不一致的消费金融公司管理者的最优退出行权价格.研究发现,时间偏好不一致的消费金融公司管理者倾向于提前行使退出期权,但为使退出策略的价值最大化,退出行为被延迟;相对于幼稚型管理者,成熟型管理者更有风险规避倾向,即选择提前退出经营.此外,消费金融公司管理者的破产决策还受到还款现金流和时间偏好因素的影响.Based on the theory of real options,this paper constructs a consumer finance company’s exit transfer model under time inconsistent preferences,thereby researching and discussing the possibility of consumer finance companies’operations withdrawing.Regarding the exit choice of consumer finance company managers as the optimal problem of American call options,using dynamic programming and optimal stopping time theory,this paper solves the optimal exit exercise price of consumer finance company managers with inconsistent time preferences.Research has found that managers of consumer finance companies with inconsistent time preferences tend to exercise exit options early,but in order to maximize the value of exit strategies,exit behavior is delayed.Compared with naive managers,mature managers have a tendency to avoid risks,which is to choose to withdraw from the operation early.In addition,the bankruptcy decision of the manager of a consumer finance company is also affected by the repayment cash flow and time preference factors.

关 键 词：消费金融公司 时间不一致性 实物期权 

分 类 号：F830.3[经济管理—金融学]