5-1983 Optimal Investment Under Uncertainty
5-1983 Optimal Investment Under Uncertainty
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5-1983 不确定性下的最优投资
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发表时间：
2017
期刊：
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通讯作者：
Andrew B. Abel
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作者：
Andrew B. Abel
价格不确定性对面临凸性调整成本的风险中性竞争企业的投资决策的影响。理查德·哈特曼（Richard Hartman，1972）和罗伯特·平迪克（Robert Pindyck，1982）已经分析过这个问题，但他们得出了截然不同的结果。哈特曼表明，在线性同质生产函数的情况下，产出价格不确定性的增加会导致竞争性企业增加投资。然而，平迪克发现，只有当边际调整成本函数是凸的时，产出价格不确定性的增加才会导致投资增加；但是，如果边际调整成本函数是凹的，那么不确定性的增加就会降低投资率。平迪克认为，他的结果与哈特曼的结果不同，因为产出价格的随机规格不同。在哈特曼的离散时间模型中，包括当前时期在内的每个时期的价格都是随机的，而在平迪克的连续时间模型中，当前价格已知，但价格的未来演变是随机的。在本文中，我证明哈特曼的结果在使用 Pindyck 的随机规范时仍然成立，并且 Pindyck 的分析适用于所谓的“目标”投资率，而这通常不是最优的。学科 金融与财务管理 该期刊文章可在 ScholarlyCommons 上找到：http://repository.upenn.edu/fnce_papers/220 不确定性下的最优投资
price uncertainty on the investment decision of a risk-neutral competitive firm which faces convex costs of adjustment.' This issue has been analyzed by Richard Hartman (1972) and by Robert Pindyck (1982), but they reached dramatically different results. Hartman showed that with a linearly homogeneous production function, increased output price uncertainty leads the competitive firm to increase its investment. However, Pindyck found increased output price uncertainty leads to increased investment only if the marginal adjustment cost function is convex; but, if the marginal adjustment cost function is concave, then increased uncertainty will reduce the rate of investment. Pindyck argues that his results differ from Hartman's results because of a different stochastic specification of the price of output. In Hartman's discretetime model, price is random in each period including the current period, whereas in Pindyck's continuous-time model, the current price is known but the future evolution of prices is stochastic. In this paper, I demonstrate that Hartman's results continue to hold using Pindyck's stochastic specification and that Pindyck's analysis applies to a socalled "target" rate of investment, which in general is not optimal. Disciplines Finance and Financial Management This journal article is available at ScholarlyCommons: http://repository.upenn.edu/fnce_papers/220 Optimal Investment under Uncertainty