دانلود رایگان مقاله لاتین استراتژی های سرمایه گذاری و اطلاعات نامتقارن از سایت الزویر
عنوان فارسی مقاله:
استراتژی های سرمایه گذاری، برگشت پذیری و اطلاعات نامتقارن
عنوان انگلیسی مقاله:
nvestment strategies, reversibility, and asymmetric information
سال انتشار : 2017
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بخشی از مقاله انگلیسی:
2 The Model
This section describes the model in four ways. First, we describe the model setup. Second, we provide the value function after investment. Third, we formulate the investment problem under asymmetric information by providing the value function before investment. Finally, as a 3 ACCEPTED MANUSCRIPT ACCEPTED MANUSCRIPT benchmark, we review the investment problem under full information. 2.1 Setup Consider a risk neutral firm that is endowed with an option to invest in a production facility. To initiate the facility, the firm simultaneously chooses the quantity and the timing of investment. We assume that once the investment is made, the facility starts to produce q > 1 units of a single commodity per unit of time. The firm sells the commodity in a perfectly competitive market at a per-unit price, Xt , at time t. The commodity price is stochastic and evolves over time according to the following geometric Brownian motion: dXt = µXtdt + σXtdZt , X0 = x > 0, (1) where Zt is a standard Brownian motion, and µ > 0 and σ > 0 are the constant growth rate and volatility of the commodity price, respectively. We assume that the initial price X0 = x is too low to make an immediate investment optimal. Let r > 0 be the constant interest rate. For convergence, we assume r > µ. 3 The cost expenditure to undertake the investment is I(q; F) := C(q) + F > 0. (2) We assume that C(q) is a strictly increasing and convex function of q, i.e., C 0 (q) > 0 and C 00(q) > 0 for any q > 1. F denotes the fixed cost.4 We assume that F could take on two possible values: F1 or F2, with F2 > F1 > 0. We denote ∆F := F2 −F1 > 0. One could interpret F1 as a “low-fixed cost” expenditure and F2 as a “high-fixed cost” expenditure. The probability of drawing F = Fi (i ∈ {1, 2}) is exogenous, and P(Fi) = pi ∈ (0, 1) with p1 + p2 = 1. Besides the option to invest, we assume that the firm possesses an option to abandon the operation of facility at any time after investment, when the commodity price becomes unfavorable. The abandonment, once made, is irreversible. The salvage at the time of abandonment is sI(q; F), where s ∈ [0, 1] gauges the degree of reversibility. Thus, based on the above assumptions, we define a reversible investment as follows.
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کلمات کلیدی:
Strategic Management in the 21st Century [3 Volumes] https://books.google.com/books?isbn=0313397422 Timothy J. Wilkinson, Vijay R. Kannan - 2013 - Business & Economics Therefore, one witnesses an asymmetric return pattern from option ... If one's investments were completely reversible, one would not need to consider option ... (and rationality) allows one to consistently select the optimal investment strategy. Reversible and Selective Encapsulation of Dextromethorphan and β ... https://pubs.acs.org/doi/full/10.1021/jacs.6b10027?src=recsys by J Mendez-Arroyo - 2017 - Cited by 2 - Related articles Jan 17, 2017 - An allosterically regulated, asymmetric receptor featuring a binding cavity ... However, a promising strategy to design allosterically regulated ... Regulating Capitalism?: The Evolution of Transnational Accounting ... https://books.google.com/books?isbn=1137309288 J. Zimmermann, J. Werner - 2013 - Social Science One explanationis the asymmetric lossfunction of creditors(Watts 2003): creditorsdo not benefit ... The two groupsofcapital suppliers have dissimilar investment strategies. ... The reversibility is much more important for shortterm investors.
