最优消费投资与破产保护  

Optimal consumption,investment and bankruptcy protection

作　　者：杨金强[1] 杨招军[2] 

机构地区：[1]上海财经大学金融学院,上海200433 [2]湖南大学金融与统计学院,长沙410079

出　　处：《系统工程理论与实践》2013年第4期853-860,共8页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(71171078;70971037;71202007;71203144);教育部博士点基金(20100161110022);上海市"晨光计划"(12CG44);上海市教委科研创新项目(13ZS050)

摘　　要：考虑一个面临经营性风险(非系统风险)的企业家,在给定的债务及企业所得税率下,如何通过消费平滑、实业投资、破产保护以及金融投资,实现消费效用最大化的公司金融问题.得到了非风险中性下企业资本价值的半闭式解及相应的最优经营策略和最优破产阈值.对应经典的资本资产定价(CAPM)理论,得出企业家的期望收益率、贝塔系数、系统风险溢价和非系统风险溢价(idiosyncratic risk premium).不同于传统观点,非系统风险溢价严格大于零.这些结论和数值计算表明,企业家的风险态度对企业资本价值、最优资本结构、实业投资策略、破产水平、非系统风险溢价、期望收益率等具有显著的影响.This paper considers an optimal investment problem for a risk-averse entrepreneur facing busi- ness risk to maximize the expectation of total consumption utility through consumption smoothing, real investment, bankruptcy protection and financial investment when the debt and enterprise income tax are given. We derive semi-closed-form solution for capital value, optimal business strategy and bankruptcy threshold in a non-risk-neutral world. In addition, we obtain the expected return, beta coefficient, sys- tern risk premium and idiosyncratic risk premium corresponding CAPM. Unlike the classical theory, the idiosyncratic risk premium is strictly positive once the entrepreneur is risk-averse. The conclusions and numeric results show that the risk attitude of the entrepreneur has a significant effect on the value of the capital, optimal capital structure, real investment strategy, bankruptcy threshold, idiosyncratic risk premium and expected return.

关 键 词：风险厌恶 下行风险 破产保护 实业投资 

分 类 号：F224.0[经济管理—国民经济]