基于模糊厌恶的企业家最优投资消费与定价问题研究  

Optimal Investment,Consumption and Valuation of Enterpriser under Ambiguity Aversion

作　　者：牛英杰 杨金强[2,3,4] NIU Yingjie;YANG Jinqiang(SILC Business School,Shanghai University,Shanghai 200444,China;School of Finance,Shanghai University of Finance and Economics,Shanghai 200433,China;Shanghai Institute of International Finance and Economics,Shanghai 200433,China;Shanghai Key Laboratory of Financial Information Technology,Shanghai 200433,China)

机构地区：[1]上海大学悉尼工商学院,上海200444 [2]上海财经大学金融学院,上海200433 [3]上海国际金融与经济研究院,上海200433 [4]上海市金融信息技术研究重点实验室,上海200433

出　　处：《计量经济学报》2022年第1期150-163,共14页China Journal of Econometrics

基　　金：国家自然科学基金(71772112,71972122,72072108);霍英东教育基金会第十五届高等院校青年教师基金基础性研究课题(151086);上海财经大学创新团队建设项目(2016110241)。

摘　　要：从行为金融学的角度,考虑经济个体的模型不确定性特征,研究生产技术与风险资产收益分布均未知条件下企业家的消费投资决策与相应资产定价问题.由于企业家担心模型的误定,因此寻求稳健的决策规则.通过构建“齐次型”不确定性规避偏好,利用最大最小期望效用偏好模型对企业家消费总效用进行了刻画,推导得出非完备市场企业家确定性等价财富的半闭式解及最优消费投资策略,并且基于经典的资本资产定价模型,得出了企业家的期望收益率、贝塔系数、风险溢价与模糊溢价(ambiguity premium).研究结论表明,模型不确定性厌恶程度的增加对企业价值、消费数量、实业投资策略、金融投资策略、期望收益率、风险溢价等具有显著的影响;相对于无模型不确定性情形,模糊厌恶的企业家因应对最不利市场环境将享受额外的补偿,即模糊溢价是严格大于零的.From the standpoint of behaviorial finance,this paper studies the business decisions(e.g.,capital accumulation) and household decisions(e.g.,consumption/saving and asset allocation) of an entrepreneur under model uncertainty.Concern about model misspecification induces the entrepreneur to want robust decision rules.In accordance with max-min expected utility and homogeneity property,this paper obtains the semi-closed solutions for optimal business strategy,consumption policy and asset allocation.On a basis of CAPM,the expected return,beta coefficient,risk premium and ambiguity premium are derived as well.Quantitative analysis shows that the presence of ambiguity has a significant impact on firm value,business investment,financial investment,expected return and risk premium.Additionally,other than risk premium,the ambiguity premium occurs and is strictly positive due to the entrepreneur’s fear of model misspecification.

关 键 词：模型不确定性 投资 消费 风险溢价 模糊溢价 

分 类 号：F272[经济管理—企业管理]