Optimal investment under ambiguous technology shocks
Optimal investment under ambiguous technology shocks
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DOI：
10.1016/j.ejor.2020.11.047
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发表时间：
2020-12
期刊：
影响因子：
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通讯作者：
Takao Asano;Y. Osaki
中科院分区：
文献类型：
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作者：
Takao Asano;Y. Osaki
本文利用 Klibanoff 等人（2005）的平滑模糊模型分析了企业面临模糊技术冲击时的行为以及模糊态度对最优资本投资的影响。尽管从直觉上看，模糊厌恶的增加总是会减少最优资本投资，但这并不一定正确，因为生产函数的形状在决定效果方面起着关键作用。在某些条件下，我们表明，如果生产函数是替代（补充）的，最优资本投资量会增加（减少）模糊厌恶，而当生产函数是替代时，这个结果是违反直觉的。此外，如果我们假设 Ghirardato 等人（2004）中的 α-maxmin 偏好，我们的主要结果成立。
This paper analyzes the behavior of a firm facing an ambiguous technology shock and the effects of the attitude toward ambiguity on optimal capital investment using the smooth ambiguity model of Klibanoff et al.(2005). Although it seems intuitive that an increase in ambiguity aversion always reduces the optimal capital investment, this is not necessarily true because the shape of the production function plays a key role in determining the effect. Under some conditions, we show that the optimal amount of capital investment increases (decreases) in ambiguity aversion if the production function is substitute (complement), and that this result is counterintuitive when the production function is substitute. Furthermore, our main results hold if we assume the α-maxmin preferences in Ghirardato et al.(2004).