摘要
考察了在企业家有限承诺的条件下,模型不确定性对企业的动态资本投资和风险管理的影响.运用最大最小期望效用理论和动态最优控制方法,得到最不利情形下企业家确定性等价财富的半闭式解以及相应的最优经营策略和风险对冲策略.研究结果表明,模型不确定性的存在能够降低企业的最优债务容量,进一步导致了消费不足和投资扭曲,但消费和投资的偏离幅度因有限承诺约束的存在而呈现非对称性.在引入模型不确定性后,发现企业对冲资本波动风险需要的期货合约数量先减少后增加,这源于模型不确定性与有限承诺约束的博弈,但防备生产技术转换风险需要的保险合约数量却随着不确定性程度的增强而减小.
This paper investigates the effects of model uncertainty on corporate dynamic capital investment and risk management with entrepreneurial limited commitment.Utilizing max-min expected utility and dynamic stochastic control,the semi-closed-form solution for entrepreneurial certainty-equivalent wealth,optimal business strategy and risk management under the worst-case scenario are derived.The results show that the presence of model uncertainty can decrease the optimal debt capacity and further cause low consumption and investment distortions.But the deviation of investment and consumption are nonsymmetric when considering limited commitment constraint.Compared with the model without model uncertainty,the futures positions for hedging capital shock decrease first and then increase.This is due to the tradeoff between model uncertainty and limited commitment constraint.In contrast,an increase in the degree of model uncertainty reduces the insurance demand for hedging against the change in productivity.
作者
牛英杰
杨金强
Niu Yingjie;Yang Jinqiang(School of Finance,Shanghai University of Finance and Economics,Shanghai 200433,China;Shanghai Institute of International Finance and Economics,Shanghai 200433,China;Shanghai Key Laboratory of Financial Information Technology,Shanghai 200433,China)
出处
《系统工程学报》
北大核心
2026年第1期94-109,共16页
Journal of Systems Engineering
基金
国家自然科学基金资助项目(72342021,72425012,72503128)
教育部人文社会科学基金资助项目(22YJC630108)
上海财经大学中央高校基本科研业务费专项资金资助项目(2024110563)。
关键词
企业家人力资本
有限承诺
模型不确定性
投资
风险管理
entrepreneurial human capital
limited commitment
model uncertainty
investment
risk management
