理性疏忽下的进入与退出策略

Entry and exit strategies under rational inattention

基于实物期权框架研究企业管理者的信息处理能力受限对企业进入策略和退出策略的影响。研究运用Shannon熵理论以及Kalman滤波理论对企业管理者的信息处理能力受限进行建模,得到理性疏忽下的投资后项目现金流的最优线性估计。理性的企业管理者使用现金流的最优线性估计进行投资决策以及投资后的退出决策,得到理性疏忽下的投资期权和投资后的项目价值。数值分析结果发现,信息处理能力受限的企业管理者倾向于过度投资;投资后,企业管理者倾向于推迟退出项目。

This paper investigates the impact of finite information processing capacity of the firm’s agent on the entry and exit strategies.Shannon entropy theory and Kalman filtering theory are utilized to model the agent’s information processing capacity constraints and the optimal linear estimation of the project’s cash flows after investment under rational inattention is obtained.Rational agent uses the optimal linear estimation to make the entry and exit decisions and obtains the investment option and the project value after investment under rational inattention,respectively.The numerical results show that agent with limited information processing capacity tends to over invest,and after investment,the agent tends to postpone the exit of the project.