创业企业家的最优消费与投资
Optimal Consumption and Investment for an Entrepreneur
摘要: 本文考虑一个面临随机需求风险的创业企业家，如何通过消费平滑策略与动态调整企业规模，实现效用最大化的公司金融问题。运用动态随机控制方法，得到了风险厌恶下企业资本的平均价值与边际价值的半闭式解及相应的最优消费与投资策略。数值结果表明，创业企业家的风险态度对企业资本的边际价值与平均价值以及相应的最优消费与投资决策具有显著的影响。
Abstract: This paper considers an optimal investment problem for a risk-averse entrepreneur facing stochastic demands to maximize the expectation of total consumption utility through consumption and business investment with costly reversibility. Utilizing dynamic stochastic control, we derive semi-closed-form solutions for the average value and marginal value of the capital and the corresponding optimal consumption and investment strategies in a non-risk-neutral world. The numeric results show that the risk attitude of the entrepreneur has a significant effect on the value of the capital and the optimal consumption strategy and investment decision.
文章引用：杨金强, 杨招军. 创业企业家的最优消费与投资[J]. 金融, 2011, 1(1): 1-6. http://dx.doi.org/10.12677/fin.2011.11001

参考文献

[1] D. T. Le, J. B. Jones. Optimal investment with lumpy costs. Journal of Economic Dynamics and Control, 2005, 29(7): 1211-1236.
[2] C. O. Ewald, Z. J. Yang. HUtility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic riskH. Mathematical Methods of Operations Research, 2008, 68(1): 97-123.
[3] M. Rothschild. On the cost of adjustment. Quarterly Journal of Economics, 1971, 85(4): 605-622.
[4] S. J. Nickell. The investment decisions of firms. Cambridge: Cambridge University Press, 1978.
[5] J. Tobin. A general equilibrium approach to monetary theory. Journal of Money, Credit, and Banking, 1969, 1(1): 15-29.
[6] M. Mussa. External and internal adjustment costs and the theory of aggregate and firm investment. Economica, 1977, 44(174): 163-178.
[7] A. B. Abel. Optimal investment under uncertainty. American Economic Review, 1983, 73(1): 228-233.
[8] A. B. Abel, J. C. Eberly. A unified model of investment under uncertainty. American Economic Review, 1994, 84(1): 1369-1384.
[9] A. B. Abel, J. C. Eberly. Optimal investment with costly reversibility. Review of Economic Studies, 1996, 63(4): 581-593.
[10] X. Guo, J. J. Miao, and E. Morellec. Irreversible investment with regime shifts. Journal of Economic Theory, 2005, 122(1): 37-59.
[11] A. B. Abel, J. C. Eberly. The effects of irreversibility and uncertainty on capital accumulation. Journal of Monetary Economics, 1999, 44(3): 339-377.
[12] V. Henderson. Valuing the option to invest in an incomplete market. Mathematics and Financial Economics, 2007, 7(1): 103-128.
[13] J. J. Miao, N. Wang. Investment, consumption and hedging under incomplete markets. Journal of Financial Economics, 2007, 86(3): 608-642.
[14] Zhaojun Yang, Jinqiang Yang. Consumption Utility-Based Pricing and Timing of the Option to Invest with Partial Informa-tion[J/OL].
[15] http://ssrn.com/abstract=1560322H, 2010-2-27.
[16] H. Chen, J. J. Miao, and N. Wang. HEntrepreneurial Finance and Non-diversifiable RiskH. Review of Financial Studies, forthcoming, 2010.
[17] 胡援成, 姜光明. 基于风险与收益对称的最优资本结构研究[J]. 管理科学学报, 2006, 9(5): 7-81.
[18] R. Hartman, M. Hendrickson. Optimal partially reversible investment. Journal of Economic Dynamics and Control, 2002, 26(3): 483-508.
[19] C. Wang, N. Wang, and J. Q. Yang. Dynamics of entrepreneurship and incomplete mar-kets[DB/OL].
[20] http://www.nber.org/papers/w16843, 2010.
[21] Zhaojun Yang, Jinqiang Yang. Consumption utility-based pricing and timing of the option to invest with partial information[J/OL].
[22] http://ssrn.com/abstract=1560322H, 2010-2-27.
[23] Jorgenson, W. Dale. Capital theory and investment behavior. American Economic Review, 1963, 53(2): 247-259.
[24] M. Veracierto. The mix and scale of factors with irreversibility and fixed cost of investment: a comment. Carnegie-Rochester Series on Public Policy, 1998, 48(1): 137-144.
[25] A. B. Abel, J. C. Eberly. The effects of irreversibility and uncertainty on capital accumulation. Journal of Monetary Economics, 1999, 44(3): 339-377.

为你推荐