Knight不确定与随机汇率下外商投资决策

On study of a foreign investor's investment with random exchange rate under Knightian uncertainty

在奈特不确定及机制转换环境下研究了汇率变动对跨国投资决策的影响.首先,通过It公式,推导得出机制转换环境下利润流的动力学方程.其次,利用最大最小期望效用(α-MEU)偏好模型对项目投资期望值进行了刻画.再利用随机分析方法推导出在奈特不确定及机制转换环境下考虑汇率变动的项目预期价值公式及利润流临界现值.最后,对结果进行数值模拟,分析了不同参数对跨国投资的影响.

This paper studies the optimal investment with random exchange rates under Knightian uncertainty and regime switching. Firstly, by using an Ito formula, the dynamics of profit flow under regime switching is obtained. Secondly, α-maxmin expected utility （α-MEU） model is utilized to characterize an investor＇ s expected value of the investment. Thirdly, the profit flow calculation formula with random exchange rates are derived by the stochastic calculus, and the critical present values of the profit flow are also given. Finally, numerical simulations are provided to explain the effect of the parameters on an investor＇s investment decisions.