不确定性投资中源于对手行为相关风险.pdfVIP

: ∗ † 430074 , Smets , The Correlation risk from irrational rival under uncertain investment Yang Ming 1 Bao Jiye 2 Gong Pu 3 Management School, Huazhong University of Science and Technology, Wuhan 430074 Abstract In an investment of project under uncertainty, investors use the strategy against risk of the project. At the same time, the investor may suffer the correlation risk from the behavior of irrational rival. This paper presents an investing options game and discusses the effect of rival’s overconfident behavior on the equilibrium exercises strategies. By using real options analysis and options game, the investing equilibrium of rational investors has been derived by the research and used as a benchmark. Furthermore, the research discuses the effect of overconfidence on the investing behavior. The results of the analysis show that an investor with overconfidence rival may bear the correlation risk. The results also show that the level of market price and the conflict benefit from rival’s behavior are significantly associated with the correlation risk. The higher market price is, the less correlation risk investor has. The enough high market price can offset the correlation risk. The correlation risk will be vanished if the conflict benefit from the rival’s behavior disappears. The estimation for the probability and the expected loss of the correlation risk can be used to measure the correlation risk. Key words behavior of overconfidence, correlation risk, investment e