学术期刊
切换导航
首 页
文 章
期 刊
投 稿
预 印
会 议
书 籍
新 闻
合 作
我 们
按学科分类
Journals by Subject
按期刊分类
Journals by Title
核心OA期刊
Core OA Journal
数学与物理
Math & Physics
化学与材料
Chemistry & Materials
生命科学
Life Sciences
医药卫生
Medicine & Health
信息通讯
Information & Communication
工程技术
Engineering & Technology
地球与环境
Earth & Environment
经济与管理
Economics & Management
人文社科
Humanities & Social Sciences
合作期刊
Cooperation Journals
首页
经济与管理
金融
Vol. 1 No. 1 (April 2011)
期刊菜单
最新文章
历史文章
检索
领域
编委
投稿须知
文章处理费
最新文章
历史文章
检索
领域
编委
投稿须知
文章处理费
创业企业家的最优消费与投资
Optimal Consumption and Investment for an Entrepreneur
DOI:
10.12677/fin.2011.11001
,
PDF
,
HTML
,
XML
,
被引量
下载: 4,030
浏览: 11,899
国家自然科学基金支持
作者:
杨金强
,
杨招军
*
:湖南大学金融与统计学院
关键词:
动态优化
;
风险厌恶
;
消费效用无差别定价
Dynamic Optimization; Risk aversion; Consumption Utility-Based Indifference Pricing
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.
投稿
为你推荐
友情链接
科研出版社
开放图书馆