首页 | 本学科首页   官方微博 | 高级检索  
相似文献
 共查询到20条相似文献,搜索用时 109 毫秒
1.
将生产率冲击期望回报的不可观测性引入托宾q投资理论的标准框架,运用贝叶斯原理通过管理者信念这一概念刻画管理者基于部分信息的学习过程.同时,考虑投资调整成本,建立公司托宾q值关于管理者信念的常微分方程,并讨论了管理者信念以及投资调整成本对公司托宾q值,投资决策,公司价值随管理者信念变化的敏感度以及公司当前资产价值与成长机会价值的影响.模型和结论对公司估值以及投资决策制定具有一定参考价值.  相似文献   

2.
P2P网络借贷作为电子商务在金融领域的延伸与应用,近年来得到广大学者的关注.但是目前的理论研究中,鲜有从投资者信息挖掘的角度进行投资决策分析.本文提出一个新颖的方法,即投资者构成分析方法,通过分析贷款的众多投资者信息遴选出最有价值的投资,辅助投资者进行投资决策.首先从投资者的历史投资收益率、风险偏好以及投资经验三个维度构建投资者档案(investor profile),进而基于投资者档案构建投资者构成分析模型,最后通过美国最大的在线网络借贷网站Prosper的数据,对本文提出的构想及模型进行了实证研究.实验结果表明本文提出的利用投资者构成分析的方法辅助投资者进行投资决策是可行的,文中构建的模型表现出良好的预测能力,能够有效地筛选出有价值的投资.  相似文献   

3.
如何持续提升资本市场的配置绩效是投资者和其他利益各方关注的重大问题.在对国外审计师稳健性经济后果模型修正的基础上,着重从诉讼风险角度,分析了审计师稳健性与投资者投资效率和客户公司市场价值的关系.结果发现:在法律法规健全且有效实施的条件下,审计师的鉴证类型(稳健或激进、中性)决定了投资者的投资效率和公司的市场价值.反之,激进型审计策略成为审计师的主流特征,结果导致投资者过度投资和投资不足并存、公司价值低估与高估同在的格局.然后,结合我国投资者长期投资不足、公司价值低微的现实,予以印证.主要创新是按照法律制度是否健全和实施力度分析了审计稳健性与投资效率和公司价值的关系.  相似文献   

4.
本文应用期权博弈理论方法分析了存在竞争条件下的不确定性投资决策问题.建立了一个对称双寡头模型,用实物期权方法计算了模型中的领先者、跟随者和同时投资者的价值函数和投资临界点.  相似文献   

5.
文章针对林业碳汇项目投资决策的复杂性、动态性和不确定性过程,利用林业—碳汇共同经营决策模型计算林业碳汇项目在投资期内的期望价值,采用实物期权定价方法对不同阶段不同策略下的林业碳汇项目价值进行评估,同时提出了多主体仿真建模方法,利用NetLogo仿真软件对林业碳汇项目投资决策过程进行动态模拟。仿真系统中涉及到的主体有林地、CO2和投资者,投资者主要是作为观察者的身份,在不同阶段会做出不同的投资策略。模拟仿真三种不同状态下投资者的决策变化:一是传统林业投资动态模拟,不包含碳汇和期权因素动态模拟;二是引入碳汇市场后的林业投资动态模拟;三是引入碳汇市场和期权后林业投资动态模拟。NetLogo仿真分析结果表明引入碳汇市场可以提高投资者的收益并改变投资者的经营策略,同时引入期权,不仅增加了投资者的积极性而进行扩张投资,还可以更好地发挥林木碳汇功能,体现林业的生态价值及经济价值。  相似文献   

6.
研究了具有相互作用的两个竞争机构投资者之间的离散时间最优投资选择博弈问题,每个机构投资者都考虑其竞争对手的相对业绩.机构投资者可以投资于相同的无风险资产和不同的具有相关关系的风险股票,以反映投资的资产专门化.机构投资者选择投资组合策略使得期望终端绝对财富和相对财富的效用最大.首先,定义了Nash均衡投资组合选择策略.然后,在机构投资者具有指数效用函数的假设下,得到了Nash均衡投资组合选择策略和值函数的显示表达式,分析了机构投资者之间的竞争对Nash均衡投资组合选择策略的影响.最后,通过数值计算给出了各种情况下Nash均衡投资组合选择策略和值函数与模型主要参数之间的关系.结果表明:机构投资者之间的竞争会影响其对风险的承担,投资机会集对机构投资者的Nash均衡投资组合选择策略和值函数与模型主要参数之间的关系会产生很大的影响.  相似文献   

7.
研究了两个风险厌恶的竞争的机构投资者之间的离散时间最优投资选择博弈模型,每个机构投资者都考虑其竞争对手的相对业绩.机构投资者可以投资于相同的无风险资产和不同的具有相关关系的风险股票,以反映投资的资产专门化.机构投资者选择动态投资策略使得终端绝对财富和相对财富的加权和的期望效用最大.首先,定义了Nash均衡投资策略.其次,在资产专门化和机构投资者具有指数效用函数下,得到了Nash均衡投资策略和值函数的显示表达式,分析了机构投资者之间的竞争对Nash均衡投资策略和值函数的影响.然后,在资产分散化和股票的收益率服从正态分布下,得到了Nash均衡投资策略和值函数的显示表达式,给出了Nash均衡投资策略和值函数与模型主要参数之间的关系.最后,通过数值计算给出了机构投资者采取专门化投资策略,还是分散化投资策略的条件.结果表明机构投资者之间的竞争会影响其对风险的承担,投资机会集对机构投资者的Nash均衡投资策略和值函数会产生很大的影响.  相似文献   

8.
在委托代理理论框架下,本文考虑更符合实际的市场环境,研究生产状态转换和重大损失风险两大不稳定因素对代理人贴现价值,公司价值及投资量的影响.文章根据最优合约理论和随机控制原理,在代理人与投资者之间建立一个动态最优合约模型,该模型一方面对代理人具有足够的激励作用,另一方面最大化投资者的价值函数.此外,延缓支付,清算风险和由生产状态转移引起的代理人报酬的补偿报酬等因素也都包含其中·文章发现:重大事故风险对高生产状态下投资量的影响大于对代低生产状态下投资量的影响.这一结果有效解释了行为经济学中当经理人面临清算时,在市场低迷状态下往往选择奋力一搏增加投资量,而在市场繁荣状态下的选择却更保守这一现象.其次,当不受代理人控制的生产状态转换发生时,代理人所得到的补偿价值对代理人具有重要的激励作用,但随着代理人价值函数的增加,激励作用逐渐减弱.该结论打破了代理人所得报酬应只与自身的表现有关,而不应受其他外界因素的影响这-传统认知;最后,投资决策依赖于公司效益,生产状态转换和清算风险也间接影响公司的投资决策.当生产状态好转时,且贴现价值的激励作用使代理人问题得到缓解,投资也变得更加有利,投资量会增加;反之亦然.  相似文献   

9.
研究存在模型风险的最优投资决策问题,将该问题刻画为投资者与自然之间的二人-零和随机微分博弈,其中自然是博弈的"虚拟"参与者.利用随机微分博弈分析方法,通过求解最优控制问题对应的HJBI(Hamilton-Jacobi-Bellman-Isaacs)方程,在完备市场和存在随机收益流的非完备市场模型下,都得到了投资者最优投资策略以及最优值函数的解析表达式.结果表明,在完备市场条件下,投资者的最优风险投资额为零,在非完备市场条件下最优投资策略将卖空风险资产,且卖空额随着随机收益流波动率的增大而增加,随风险资产波动率增大而减少.  相似文献   

10.
实物期权的定价在风险投资决策过程中具有重要意义.传统的实物期权定价方法忽略标的资产价值和投资成本的模糊性,从而可能导致错误的投资决策.本文主要研究了具有模糊标的的资产价值和投资成本情形时的实物期权定价模型.文中将这些模糊因素分别视为模糊数和模糊变量,然后运用模糊集合论,结合B-S期权定价理论,对实物期权进行定价,得到了基于模糊集合论的实物期权定价模型.  相似文献   

11.
In order to maximize profit, a buying firm should continuously search for and access sources which offer more favorable prices. While the literature is replete with works on the formation and development of buyer–supplier relationships, there is surprisingly only scarce research on the termination of such relationships and supplier switching. Using the concept of switching costs in a principal-agent framework, we at first analyze whether a firm switches the entire or a partial quantity to an alternative supplier when there is either symmetric or asymmetric information about the alternative supplier’s cost structure. Information asymmetry results in inert supplier switching decisions. Subsequently, we extend our model and take competitive reactions of the incumbent supplier and economies of scale effects into consideration. We find conditions under which ‘no’, ‘partial’ and ‘complete’ switching occurs, which depend on the buying firm’s beliefs about the alternative supplier’s unit costs, switching costs, the price offered by the incumbent supplier, and refinements of the price offered by the incumbent supplier due to competitive reactions and economies of scale. Broader implications for supplier relationship management and sourcing strategy decisions are also provided.  相似文献   

12.
欧阳智  苏秦 《运筹与管理》2021,30(10):220-226
基于企业的关系视角,讨论了企业选择知识流程外包的可能动机。具体而言,在控制服务成本差的背景下,考虑企业间协同合作产生的关系租金与知识传递的信息粘性对企业选择外包策略进行分析。区别于传统基于服务成本差的外包策略,结论指出由于存在信息粘性的影响,服务提供商仅仅具有较高信息处理能力是不能保证企业选择外包。同时指出,即使当服务提供商不具有任何成本优势,基于合作战略的高关系租金也能成为企业选择知识流程外包的又一动机。通过将成本优势和关系优势进行比较,我们指出两类优势对于企业的外包绩效具有互补性,对于企业进行知识流程外包的决策具有替代性。  相似文献   

13.
In this paper, we develop a dynamic model that captures the interaction between a firm’s cash reserves, the risk management policy and the profitability of a non-predictable irreversible investment opportunity. We consider a firm that has assets in place generating a stochastic cash-flow stream. The firm has a non-predictable growth opportunity to expand its operation size by paying a sunk cost. When the opportunity is available, the firm can finance it either by cash or by costly equity issuance. We provide an explicit characterization of the firm strategy in terms of investment, hedging, equity issuance and dividend distribution.  相似文献   

14.
The pinning synchronization on complex networks with low energy cost was investigated. Two basic problems were considered, in this paper. One is how to achieve synchronization on complex network with weak coupling. Another is how to reduce the energy cost in the process of achieving and keeping synchronization. On the other hand, for a good pinning strategy, the synchronizing speed should also be ensured. In this paper, a switching pinning strategy was proposed to enhance the synchronizing speed. And from the point of view of energy saving, some selected links were strengthened. Theoretical analysis and simulations on different complex networks indicate that the proposed pinning strategy is effective. Compare with conventional existing method, the superiority of our method is significant.  相似文献   

15.
In this paper we provide an explicit mixed strategy equilibrium solution for an oligopoly game. In the specification of the model, we assume that each firm has to make a decision on the production level while it names its prices, and we introduce a fixed unit cost for unsold inventory. Hence, both price and quantity appear as strategic variables.  相似文献   

16.
We consider the problem of determining an optimal driving strategy in a train control problem with a generalised equation of motion. We assume that the journey must be completed within a given time and seek a strategy that minimises fuel consumption. On the one hand we consider the case where continuous control can be used and on the other hand we consider the case where only discrete control is available. We pay particular attention to a unified development of the two cases. For the continuous control problem we use the Pontryagin principle to find necessary conditions on an optimal strategy and show that these conditions yield key equations that determine the optimal switching points. In the discrete control problem, which is the typical situation with diesel-electric locomotives, we show that for each fixed control sequence the cost of fuel can be minimised by finding the optimal switching times. The corresponding strategies are called strategies of optimal type and in this case we use the Kuhn–Tucker equations to find key equations that determine the optimal switching times. We note that the strategies of optimal type can be used to approximate as closely as we please the optimal strategy obtained using continuous control and we present two new derivations of the key equations. We illustrate our general remarks by reference to a typical train control problem.  相似文献   

17.
Consider a firm that operates a make-to-order serial production system and employs a cross-trained workforce. We model such a firm as a tandem queuing system in which flexible servers can be allocated across stations, and assume that a switching cost is charged when servers move between stations. We show that even in the two-station two-server case the optimal policy follows a complex state-dependent structure that may be difficult to implement in practice. We propose three alternate heuristic policies and assess their performance. We show that a simpler policy which only moves one server can achieve close to optimal results.  相似文献   

18.
This paper analyzes the decision of a firm offering two versions of a product, a deluxe and a regular. While both products satisfy the same market, the deluxe version is sold at a high price relative to its cost and is aimed at the high end of the demand curve. The regular version is sold at a low price relative to its cost and is targeted to customers at the low end of the demand curve. This two-offering strategy is especially popular with book publishers where a paperback book is introduced some time after the hardbound version is introduced. The time between the introduction of the two versions of the product is accompanied by a downward shift in the demand curve due to customers losing interest in the product or satisfying their demand from a secondary used market. We solve a profit maximization model for a firm using a two-offering strategy. The model is solved for linear and exponential deterioration in demand, which is assumed to be deterministic. Also, a model with linear deterioration in demand, which is assumed to be stochastic, is solved. The results indicate that substantial improvements in profit can be obtained by using the two-offering strategy. Numerical sensitivity analysis and examples are used to illustrate the results.  相似文献   

19.
While a broad branch of literature deals with the development of buyer–supplier relationships, limited research exists under which circumstances a buyer should terminate such a relationship and switch to a new supplier. Recently, Wagner and Friedl (2007) have developed a framework to analyze a static one-shot supplier switching decision when the buyer has asymmetric information about the supplier’s production costs. We extend their basic framework to a dynamic one, assuming that the supplier learns the production costs over time when he sets up the production process. Since the supplier’s cost information at the individual stages crucially determines the setup and the switching decision, it becomes essential for supply chain management to provide proper incentives so that the supplier reveals his cost information truthfully over time. We characterize the optimal setup and switching strategy as well as the optimal supply chain contract. We also compare our findings with those of the static setting to provide further insights.  相似文献   

20.
《Optimization》2012,61(11):2477-2493
For the linear Hotelling model with firms located at the boundaries of the segment line, we study the price competition in a scenario of incomplete information in the production costs of both firms. We introduce the bounded uncertain costs (BUC) condition in the production costs and we prove that there is a local optimum price strategy if and only if the BUC condition holds. We compute explicitly the local optimum price strategy and we prove that it does not depend upon the distributions of the production costs of the firms, except on their first moments. We prove that the ex-post profit of a firm is smaller than its ex-ante profit if and only if the production cost of the other firm is greater than its expected cost.  相似文献   

设为首页 | 免责声明 | 关于勤云 | 加入收藏

Copyright©北京勤云科技发展有限公司  京ICP备09084417号