行为金融学 讲座9.pdf

14.127 Behavioral Economics. Lecture 9 Xavier Gabaix April 8, 2004 1 Self Control Problems 1.1 Hyperbolic discounting • Do you want a small cookie us now (t0 = 0) or a big cookie ub later (t1 =1 week)? • Many people prefer (u , 0) to (u , t ) s b 1 • Denote by ∆ (t) the discount factor applied to time t • Then ∆ 0 u ∆ t ) u . ( ) s ( 1 b • At the same time many people prefer (u , t) to (u , t + t ) where t =1 s b 1 year, and t1 = 1 day. ∆ (t) us ∆ (t + t ) u . 1 b • Thus, ∆ (t + t ) us ∆ (t ) 1 1 ∆ (t) ub ∆ (0) • Denote ∆ (t + t ) 1 ψ (t) = ∆ (t) and note ψ (t) ψ (0) • ψ (t) − 1 1 ∆ (t + t ) − ∆ (t) 1 = 1 ≃ ∆′ (t) t1 ∆ (t) t1 ∆ (t) ′ ∆ (t) • Thus is increasing. ∆(t) − � t ρ(s)ds • Let us write ∆ (t) = e 0 ′ � � � • Then ∆ (t) = d ln ∆ (t) = d − t ρ (s) ds = −ρ (t) ∆(t) dt dt 0 • Standard exponential model ∆ (t) = e−ρs , ρ (s