不确定市场环境下的企业家投资、消费和对冲研究

发布时间：2019-01-07 17:50

【摘要】：实物投资行为在现代经济中已经扮演了一个重要角色。公司管理者常常面临着投资决策问题,如是否投入资金,以及什么时候投入资金来开展某项投资项目。很多实物投资型项目,如研发项目、房地产开发项目和设备投入等,投入并不会即刻带来回报。因此对投资项目价值的分析和评估显得尤为重要,简单地预测和分析预期现金流已不足以准确评估一个项目的价值及其潜在增长价值。实物投资具有投资不可逆、未来收益不确定和投资时间灵活的典型特点,正是由于这些特点可以将实物投资看作"美式看涨期权'"。为此,近些年越来越多的学者致力于把实物期权方法用于不可逆的实物投资中,从实物期权的角度对未来的投资机会进行评估,是一种更加有效的方法。他们主要研究企业家在投资活动中的时机选择问题,而并不关注投资的数量或者融资方式,管理者通常会在不确定因素消失以及项目收益更加明确时做出投资决策。目前金融市场快速发展,金融市场环境变得愈加复杂,不确定因素以及突发事件频发。比如2008年9月15日爆发的全球性金融危机以来,包括我国在内的世界上多国采用宽松的货币政策,导致通胀水平居高不下。目前我国资本市场还不够完善,投资渠道单一,使得投资者在面临通货膨胀时选择资产保值增值的比较少。另一方面,随着经济全球化的不断深入,跨国投资已经成为一种普遍存在的现象,汇率的变动对企业家的跨国投资收益产生了不可忽视的影响。因此,本文将实物期权方法应用到不可逆的实物投资决策中,把通货膨胀和汇率变动因素考虑进企业家的投资-消费模型中,研究了企业家在执行实物投资前后的投资、消费和对冲问题,全文共由四章组成:第一章是绪论,阐述了本文的研究背景和研究意义;介绍了当前国内外相关的研究成果;最后对全文的内容和结构进行了梳理。第二章研究了通胀对企业家投资-消费和对冲的影响。首先,通过引入价格水平来衡量通胀,运用Ito公式导出各项资产的真实价格;并且在假设实物投资收益为一次性获得的情形下,建立了执行期权前后两个阶段对应的随机控制数学模型,利用动态规划方法推导出相应的HJB方程;进一步,在CARA效用的情形下,推导出最优消费和投资选择的半闭式解。最后,通过数值模拟技术分析了通胀因素对最优消费和投资策略选择的影响。第三章在考虑汇率变动情形下研究了企业家的投资-消费和对冲问题,使用标准动态规划和随机分析方法给出企业家在跨国实物投资过程中的最优消费和投资策略,并且通过数值模拟技术分析了汇率变动对企业家最优策略选择产生的影响。第四章对全文的研究成果进行了总结;并给出本文的研究不足之处,以及展望未来的研究计划。
[Abstract]:Physical investment has played an important role in the modern economy. Corporate managers often face investment decisions, such as whether or not to invest and when to invest in an investment project. Many real-object investment projects, such as R & D, real estate development and equipment investment, will not bring immediate returns. Therefore, it is very important to analyze and evaluate the value of an investment project. Simply predicting and analyzing the expected cash flow is not enough to accurately evaluate the value of a project and its potential growth value. Real investment has the typical characteristics of irreversible investment, uncertain future income and flexible investment time. Because of these characteristics, real investment can be regarded as "American call option". Therefore, in recent years, more and more scholars devote themselves to using the real option method in the irreversible real investment. It is a more effective method to evaluate the future investment opportunities from the perspective of real options. They mainly study the timing of entrepreneurs in investment activities, rather than the amount of investment or financing methods, managers usually make investment decisions when uncertainties disappear and project returns become clearer. At present, with the rapid development of financial market, the financial market environment becomes more and more complex, uncertain factors and frequent emergencies. For example, since the global financial crisis broke out on September 15, 2008, many countries in the world, including China, have adopted loose monetary policies, resulting in high inflation. At present, the capital market of our country is not perfect enough, and the investment channel is single, which makes investors choose to maintain and increase the value of assets in the face of inflation. On the other hand, with the deepening of economic globalization, transnational investment has become a common phenomenon, the exchange rate changes on the return on transnational investment entrepreneurs can not be ignored. Therefore, this paper applies the real option method to the irreversible real investment decision, takes inflation and exchange rate changes into account in the investment-consumption model of the entrepreneur, and studies the entrepreneur's investment before and after the implementation of the real investment. The thesis consists of four chapters: the first chapter is the introduction, which describes the research background and significance of this paper; This paper introduces the current research results at home and abroad, and finally combs the content and structure of the full text. The second chapter studies the impact of inflation on entrepreneur investment-consumption and hedge. First of all, by introducing price level to measure inflation, using Ito formula to derive the real price of each asset; Under the assumption that the real investment income is one time, the stochastic control mathematical model corresponding to the two stages before and after the executive option is established, and the corresponding HJB equation is derived by using the dynamic programming method. Furthermore, in the case of CARA utility, the semi-closed solution of optimal consumption and investment choice is derived. Finally, the influence of inflation factors on optimal consumption and investment strategy selection is analyzed by numerical simulation technique. In chapter 3, the investment-consumption and hedging problems of entrepreneurs are studied under the consideration of exchange rate changes. The optimal consumption and investment strategies of entrepreneurs in the process of transnational physical investment are given by using standard dynamic programming and stochastic analysis methods. The influence of exchange rate change on the choice of entrepreneur's optimal strategy is analyzed by numerical simulation technique. The fourth chapter summarizes the research results of this paper, and gives the shortcomings of this study, as well as the future research plan.
【学位授予单位】：安徽工程大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F275

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