部分可逆投资与基于消费效用的资产定价.pdfVIP

** ** 部分部分可逆投资与可逆投资与基于消费效用的资产基于消费效用的资产定价定价 部分部分可逆投资与可逆投资与基于消费效用的资产基于消费效用的资产定价定价 杨金强 1, 2 杨招军 1,† (1. 湖南大学金融与统计学院，长沙 410079；2. 上海财经大学金融学院，上海 200433) 摘要：本文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 的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。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的 影响。 关键字：风险厌恶，非完备市场，消费效用无差别定价，风险溢价，公司金融 Optimal Investment and Consumption Utility-Based Asset Pricing with Costly Reversibility Jinqiang Yang1, 2, Zhaojun Yang1 1 School of Finance and Statistics, Hunan University, Changsha 410079 2 School of Finance, Shanghai University of Finance and Economics, Shanghai 200433 Abstract: This paper considers an optimal investment problem for a risk-averse entrepreneur facing stochastic market demands to maximize the expectation of total consumption utility through consumption, hedging and business investment with costly reversibility. Utilizing dynamic stochastic control, we derive semi-closed-form solutions for the average value and marginal value of the capital and the corresponding optimal strategies under an incomplete market in a non-risk-neutral world. In addition, we obtain the expected return, beta coefficient and risk premium based on CAPM. The numeric results show that the risk attitude of the entrepreneur has a significant effect on the value of the capital, beta coefficient, risk premium, expected return and