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创业企业家的最优消费与投资 Optimal Consumption and Investment for an Entrepreneur

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Author(s): 杨金强 | 杨招军

Journal: Finance
ISSN 2161-0967

Volume: 01;
Issue: 01;
Start page: 1;
Date: 2011;
Original page

Keywords: 动态优化;风险厌恶;消费效用无差别定价 | 动态优化;风险厌恶;消费效用无差别定价

ABSTRACT
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。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.
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