Research On Investment Under Agent Time-Inconsistent

The purpose of this paper is providing a new research direction for investment decision research through studying the micro-individual differences' impact on the choice of optimal investment time. Based on the research of financial option pricing, and the foreign scholars' research on people's time preference, linked by the real option pricing theory, we bring the time preference factor into the numerical method of Euro Option & American Option pricing, and then find the interaction between investors' time preference inconsistent and the flexible value of available investing project.In the main part of this paper, we classify the investor to two parts. Refer to one kind of investors, their invest actions exist time-inconsistent, furthermore their later investing action can confirm their arranged plan. Another kind of investors, their invest actions also exist time-inconsistent, but their later investing action cannot confirm their arranged plan. In other words, the second kind investors lack self-control, their arranged investing design will change with time elapsing. According to some socialists and psychologists' action experiments, majority of people belong to the second class. Based on these experiments and research theories, combined some cases, we create models to express the characteristics of peoples' time-inconsistent and lacking self-control, program numerical computer procedure, and process numerical calculation. Further, refer to the difference of two kinds of investors, we analyze their individual time preference characteristics' effects on the project flexible value and optimal investing time.At last, we find the project flexible value to the first kind investors is higher than the second investors'. Due to this result, we know the second kind investors will execute their option earlier than the first kind investors. To some extent, this result can explain the phenomenon of excess investment.