企业家的最优投资消费与定价

Entrepreneurial Optimal Investment,Consumption and Pricing

笔者考虑一个面临随机需求风险的企业家,如何通过消费平滑、风险管理及有成本地动态调整资本资产规模,实现消费效用最大化的公司金融问题。笔者运用动态随机控制方法,得到了非完备市场与非风险中性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经营策略;基于经典的资本资产定价(CAPM)理论,得到了企业家的期望收益率、企业的贝塔系数和风险溢价。数值结果表明,在非完备市场下企业家的风险态度对企业资本价值、贝塔系数、风险溢价、企业家的期望收益率及相应的最优经营策略等都具有显著影响。

The authors consider the corporate finance problem of how an entrepreneur facing stochastic market risk realizes consumption utility maximization through consumption,risk management and costly dynamic adjustment of the scale of capital asset.Utilizing dynamic stochastic control,the authors derive the semi-closed solutions to the average value and marginal value of the capital in incomplete market and non risk neutral enterprises and the corresponding optimal management strategies.Based on CAPM,the authors obtained the expected return rate of entrepreneurs,the beta coefficient and risk premium of enterprises.The numeric results show that in an incomplete market,the risk attitude of entrepreneurs has significant effect on the value of corporate capital,beta coefficient,risk premium,expected return rate and the corresponding optimal management strategies.