When <Emphasis Type="Italic">q</Emphasis> theory meets large losses risks and agency conflicts

We incorporate large losses risks into the DeMarzo et al.(2012) model of dynamic agency and the q theory of investment. The large losses risks induce losses costs and losses arising from agency conflicts during the large losses prevention process. Both of them reduce firm’s value, distort investment policy and generate a deeper wedge between the marginal and average q. In addition, we study the implementation of the contract to enhance the practical utility of our model. The agent optimally manages the firm’s cash flow and treats the cash reservation and credit line as the firm’s financial slack, and hedges the productivity shocks and large losses shocks via futures and insurance contracts, respectively.     

随机波动率与投资中的q理论

本文将随机波动率引入托宾q模型,讨论生产率冲击的波动率大小对公司价值与投资决策的影响.研究发现,公司托宾q值会受到生产率冲击波动率的显著影响,波动率的增大会降低托宾q值,且该影响会随着波动率的增大而加剧.此外,波动率对托宾q值的影响也会传导到公司的投资决策上来,托宾q降低会使得投资额减小,该影响同样会随波动率的增大而加剧.本文还考虑了波动率对公司在用资产与成长机会价值的影响,更为合理地刻画了公司生产过程中生产率冲击的波动率为随机的假设现实情况,所得结论对公司估值及投资决策均有一定的参考价值.     

随机扰动下的库存投资决策模型

本文讨论的是库存投资的最优决策问题.不同于确定性q理论,对于引入了市场不确定性扰动的库存控制系统,文章建立了库存投资随机优化决策模型.从市场利率波动的角度对库存决策模型进行分析,得出的结论是:小的市场利率的扰动能够提高企业折现利润的预期,进而导致公司库存投资的上升.     

A stochastic investiment model for a survival conscious firm

A stochastic investiment is analyzed to show the consequences of an unwillingness by the entrepreneur to accept any positive risk of the firm's failure. The entrepreneur does not invest in additional capacity, even in the face of continuing positive expected profits, if that investment would infringe on the firm's ability to survive. Survival of the firm conditions all investment decisions, which are functions (via the physical and financial capital accounts) of the random outcomes observed at the time of decision. This conditioning shows how worse than expected outcomes will affect the firm's net asset position and its ability to survive. Managerially, the entrepreneur has principles by which to explicitly consider unpleasant surprises in planning for the continued growth of the firm. In contrast, knowledge of the random outcomes is shown to be of no consequence in an alternative model where maximization of expected profits is the sole criterion of the entrepreneur. In that model, the optimal investiment decisions can be made at the beginning of the firm's life, because those decisions are not functions of the future yields. Reduction of the survival model to a linear programming (LP) problem highlights the additional complexity of the survival problem. This reduction means that the maximum value of the objective function for the primal (expected profits) equals the minimum value of the objective function for the dual (resource costs), which economists interpret as zero profits. The zero profit consequence is in accordance with Knight's long-standing economic conjecture: If all risks are measureable, total risk aversion will result in no profits. Also, LP methods provide a way in application to analyze a wide range of risk possibilities from acceptance of no risk of failure to acceptance of some risk of failure.The economist as such does not advocate criteria of optimality. He may invent them. ... the ultimate choice is made by the procedures of decision making inherent in the institutions, laws and customs of society. Tjalling C. Koopmans, Nobel Memorial Lecture, 11th December 1975.     

基于GARCH方法研究非效率投资中金融冲击的影响机理

代理理论认为,在动荡和不确定环境下,管理者会做出偏离企业价值最大化的非效率投资行为。为探究金融冲击这个带有不确定色彩的因素,是否会恶化企业非效率投资行为,论文先是使用一个数学模型来说明金融冲击与非效率投资的可能关系,而后以GARCH方法的条件异方差来度量金融冲击的潜变量股市冲击、货币冲击和汇率冲击。最后,实证检验了这三个金融冲击潜变量和非效率投资的关系。研究发现:货币冲击和汇率冲击会显著提升非效率投资,而股市冲击能够显著降低非效率投资。进一步研究表明,货币冲击和汇率冲击会通过显著增加过度投资来加大非效率投资行为,而股市冲击则通过显著减少投资不足来达到降低非效率投资行为。     

Dynamic investment policy with installation experience effects

This paper analyzes the consequences of incorporating a learning-by-doing effect in the firm's adjustment cost function. The hypothesis is that, the larger the existing capital stock, the larger the installation experience gained, and therefore the smaller the cost of installing an additional unit of capital stock. The implications of the hypothesis are investigated in an optimal control model for the determination of the firm's optimal investment policy over an infinite planning period.The research of the second author was sponsored by a fellowship of the Royal Netherlands Academy of Arts and Sciences.     

“高水位”法下私募基金经理的激励与风险选择

私募基金契约本质上是一种复杂的委托—代理关系。本文基于现行私募基金行业标准的“2-20”合同,在委托代理框架下,结合前景理论,讨论了“高水位”法对基金经理的激励效应及其导致的冒险行为。研究发现,在高水位激励下产生“承诺升级”现象,当基金经理在评估期对基金业绩超过“高水位”持乐观信念时,经理倾向采用保守型投资策略;反之其倾向激进的投资策略。由此提出“2-20”合同改进：业绩激励乘数随着基金经理的差异信念而时变,同时纳入对基金风险范围的约束,以防范代理投资过程中的过度冒险问题。     

Piecewise linear processes with Poisson‐modulated exponential switching times

We consider the jump telegraph process when switching intensities depend on external shocks also accompanying with jumps. The incomplete financial market model based on this process is studied. The Esscher transform, which changes only unobservable parameters, is considered in detail. The financial market model based on this transform can price switching risks as well as jump risks of the model.     

商业银行操作风险的Buhlmann估计模型

对银行操作风险产生的各类损失量,关于操作风险水平条件独立情况,建立一种新的银行操作风险损失额的Buhlmann估计模型。并对模型进行了实证分析。     

Non-linear advertising capital model with time delayed feedback between advertising and stock of goodwill

According to the classical Nerlove-Arrow model, advertising expenditure can be considered as a capital investment to create present and future demand for the firm's products and, hence, to create present and future revenues for the firm. Advertising is assumed to influence via stock of goodwill which cumulatively counts for the effects of the firm's current and past advertising outlays. The paper presents a time delayed feedback model describing the relations between advertising and goodwill. Three different types of effects of advertising upon the dynamics of goodwill are modelled. The advertising policy of the management is incorporated into the model via a non-linear advertising function. The advertising function controls the advertising outlay e.g. by budget constraint and by the actual and target values of goodwill. The behavior of the model is analysed both analytically and numerically. Special attention is given for deriving the stability conditions for the limiting solution. The cases of repelling or chaotic limiting solutions are analysed by bifurcation and state space diagrams. Several numerical examples are given.     

Optimal dynamic investment with learning by doing in the adjustment cost function

In an optimal control model of a firm's dynamic investment policy, we analyze the effects of including learning by doing in the adjustment cost function (the larger the existing capital stock, the smaller the cost of installing an additional unit of capital stock).The authors wish to thank two anonymous reviewers for valuable comments. The research of the second author was sponsored by a fellowship of the Royal Netherlands Academy of Arts and Sciences.     

Reliability modeling for mutually dependent competing failure processes due to degradation and random shocks

Many systems are subject to two mutually dependent competing risks namely degradation and random shocks, and they can fail due to two competing modes of failure, soft and hard failure. Soft failure occurs when the total degradation performance, including continuous degradation and sudden degradation increments caused by random shocks, exceeds a certain critical threshold level. Hard failure occurs when the magnitude of any shock (extreme shock model) or the accumulated damage of shocks (cumulative shock model) is beyond some strength threshold level, which is affected by the temporal degradation performance. From viewpoints of Stress-Strength models and Cumulative damage/shock model, a realistic reliability model is developed in this article for mutually dependent competing failure processes due to degradation and random shocks. Finally, a numerical example of Micro-Electro-Mechanical System (MEMS) is conducted to illustrate the implementation and effectiveness of the proposed model.     

Organizational strategy and tacit collusion in oligopoly with agency

We study a model that integrates organizational structure and agency withdynamic price competition in oligopoly. Workers in different levels of the organizational structure have asymmetric information and heterogeneous objectives; i.e., there are agency conflicts within the firm. The organizational strategy of the firm is to determinesequentially the decision power relating to price and non-price competition instruments at each level. We examine the equilibrium organizational and competitive strategy of firms in a duopoly, and characterize the extent of noncooperative tacit collusion (with respect to price and non-price competition) that is feasible. We identify two sets of sufficient conditions that guarantee, (i) the monopoly solution is sustainable at any discount factor (rate of impatience of the workers), or (ii) the monopoly solution is not sustainable for any level of the discount factor. Interestingly, tacit collusion may be feasible when either the agency problem is non-existentor very severe; i.e., firm profits in equilibrium may be non-monotone in the extent of the agency conflict. Our analysis indicates that intrafirm learning and agency will have a stronger impact on feasible tacit collusion in markets where non-price competition plays a strong role. Moreover, there is an intimate connection between the firm's organizational strategy and the extent of tacit collusion with the (industry) business cycle.     

在未来收益不确定下的期权定价模型

§ 1　 IntroductionAt present,some high-technology(high-tech) firms such as information,software,pharmaceutical et al,are rapidly growing at home and abroad.The firm' s stock price hasbeen bid upward irrationally by individual day traders.Some managers see the currentfren-zy as a spectacularexample ofmarketbubble.The marketbubble can' tbe explained by theaverage rate of growth,butithas reacted on the developmentprospect of high-tech firms.Existing net cash flow method cannot properly capture …     

Stochastic analysis in life office management: applications to large annuity portfolios

The paper deals with the riskiness analysis for a large portfolio of life annuities. By means of the limiting distribution of the present value of the portfolio, in the first part of the paper a model for evaluating the investment and the projection risks is presented. In the second part, with regard to the investment risk's effects, the insolvency risk is measured considering the cumulative probability distribution function of the discounted average cost per policy. Copyright © 2003 John Wiley & Sons, Ltd.     

负债代理冲突下企业投融资互动行为的实物期权分析

准确分析企业投融资之间的互动关系,实现两种决策的协同,有助于提高企业决策效率和项目价值.通过把项目融资政策内生到投资决策的实物期权模型中,构建基于股东价值最大化和企业价值最大化的投融资决策互动模型,得到两种情形下的投融资决策临界点和期权价值,并借助数值分析负债代理冲突对企业投融资行为的影响.研究结果表明,负债融资既可能引发过度投资问题,也可能抑制投资.这种非效率投资将相应地提高负债融资的成本,对企业的负债融资产生抑制作用.     

Insurability of catastrophic risks: the stochastic optimization model

Catastrophes produce losses highly correlated in space and time, which break the law of large numbers. We derive the insurability of dependent catastrophic risks by calculating conditions that would aid insurers in deliberate selection of their portfolios. This paper outlines the general structure of a basic stochastic optimization model. Connections between the probability of ruin and nonsmooth risk functions, as well as adaptive Monte Carlo optimization procedures and path dependent laws of large numbers, are discussed     

Investment timing,agency and overconfidence

We consider a real option model in which a principal funds an agent to implement a project. Success depends on the quality of the project as well as the unknown ability of the agent. The possibility of the agent diverting project implementation funds to his private uses creates an agency problem which leads to delayed investment and over-experimentation. The principal prefers to fund an agent who is overconfident about his ability and such overconfidence reduces inefficiency due to agency problem.     

Optimal consumption, investment and insurance with insurable risk for an investor in a Lévy market

Numerous researchers have applied the martingale approach for models driven by Lévy processes to study optimal investment problems. The aim of this paper is to apply the martingale approach to obtain a closed form solution for the optimal investment, consumption and insurance strategies of an individual in the presence of an insurable risk when the insurable risk and risky asset returns are described by Lévy processes and the utility is a constant absolute risk aversion (CARA). The model developed in this paper can potentially be applied to absorb large insurable losses in the absence of insurance protection and to examine the level of diminishing current utility and consumption.     

Effects of pollution restrictions on dynamic investment policy of a firm

The purpose of this paper is to determine the effects of different pollution standards on the firm's resource allocation decisions. To do so, a dynamic model of the firm is developed in which it is assumed that production causes pollution as an inevitable byproduct. Concerning its investment policy, we suppose that the firm can choose between investing in productive capital goods and investing in abatement efforts.It is shown that, in some cases, future abatement expenses have a negative impact on the present level of productive investment, even if the pollution standard is not binding at the moment. This implies a really dynamic optimal investment policy for the firm, which cannot be obtained within a comparative static analysis.This research has been made possible by a fellowship of the Royal Netherlands Academy of Arts and Sciences. Comments by Frank van der Duyn Schouten and Piet Verheyen (Tilburg University) and by Raymond Gradus (Dutch Ministry of Finance, The Hague) are gratefully acknowledged.