文章基本信息

标题：Do People Disinvest Optimally?
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作者：John D Hey ; Konstantina Mari
期刊名称：Discussion Papers in Economics / Department of Economics, University of York
出版年度：2015
卷号：2015
出版社：University of York
摘要：The disinvestment decision is of importance in many contexts: if funds are tied up for too long in a poorly-performing project, then opportunities for re-investment may be missed. Optimal disinvestment theory is a component of real options theory, but is relatively ignored by experimentalists. Two recent papers conclude that decision-makers stay in projects longer than that prescribed by the optimal behaviour of a risk-neutral agent. This departure is explained through riskaversion, but without a formal hypothesis under test. We report here on an experiment which explains the behaviour of the subjects through an estimationof risk-aversion. We also explore an alternative hypothesis – that subjects are myopic. Our results show that few subjects appear to be risk-neutral, many seem to be risk-averse but few are myopic.
关键词：disinvestment; experiments; myopia; real options; risk-aversion; rolling horizon