排序方式: 共有14条查询结果,搜索用时 109 毫秒
1.
This paper develops a real option model in which the interaction between debt, liquidation policy and risky investments is studied. We consider a manager who owns the firm and faces the opportunity to invest in risky projects which may boost current profits at the cost of bankruptcy if they turn out to be unsuccessful. These investments are “last resort gambles” in the sense that, if successful, they save the company from insolvency, while, if unsuccessful, they make liquidation unavoidable. It is shown that last resort gambles delay liquidation. We study how the liquidation trigger and the last resort investment decisions are affected by the firm's capital structure. 相似文献
2.
3.
The effects of two environmental policy options for the reduction of pollution emissions, i.e. taxes and non-tradable quotas, are analyzed. In contrast to the prior literature this work endogenously takes into account the level of emissions before and after the adoption of the new environmental policy. The level of emissions is determined by solving the firm's profit maximization problem under taxes and fixed quotas. We find that the optimal adoption threshold under taxes is always larger than the adoption threshold under fixed quota, even in a setting characterized by ecological uncertainty and ambiguity – in the form of Choquet–Brownian motions – on future costs and benefits over adopting environmental policies. 相似文献
4.
Incentives of Stock Option Based Compensation 总被引:3,自引:1,他引:2
Elettra?AgliardiEmail author Rainer?AndergassenEmail author 《Review of Quantitative Finance and Accounting》2005,25(1):21-32
We introduce explicitly the effort as a choice variable in a continuous time utility maximisation framework of an executive who is partly compensated with stock options. We solve the model in the case where the executive is not allowed to trade in the company’s stock but is able to achieve a partial insurance through trading in a correlated market portfolio. We define the executive’s value of the options through a certainty equivalence approach both in the case of European call options and non-standard capped stock options and study the behaviour of the reservation price as relevant parameters change.JEL Classification: G13, G30, G32, J33, M12 相似文献
5.
Taxation and Investment Decisions: A Real Options Approach 总被引:3,自引:0,他引:3
Elettra Agliardi 《Australian economic papers》2001,40(1):44-55
The purpose of the paper is to analyse the impact of the tax system on the firm's incentives to invest and disinvest in an uncertain environment. This paper follows the real options approach, which allows us to investigate the value to a firm of waiting to invest and/or disinvest, when payoffs are stochastic and investments partially reversible. The implications for the magnitude and directions of the effects of tax policy are studied; also the case of tax policy uncertainty is examined. 相似文献
6.
This paper provides analytical solutions and regularity results for some second order PDEs of degenerate elliptic type. The motivation is to study several economic models with uncertainty where the variables are constrained by constant barriers. 相似文献
7.
We develop a dynamic investment options model with optimal capital structure and evaluate the effect of time-to-build on firm value and leverage choices. With time-to-build the firm increases initial leverage in order to reduce the impact of delayed cash flows resulting from time-to-build. The impact of time-to-build is more severe the higher the revenue volatility and competitive erosion, and when the firm issues long-term debt. Time-to-build is shown to have a substantial impact on firm values for plausible parameter values. 相似文献
8.
We study the destabilizing effect of hedging strategies under Markovian dynamics with transaction costs. Once transaction costs are taken into account, continuous portfolio rehedging is no longer an optimal strategy. Using a non-optimizing (local in time) strategy for portfolio rebalancing, explicit dynamics for the price of the underlying asset are derived, focusing in particular on excess volatility and feedback effects of these portfolio insurance strategies. Moreover, it is shown how these latter depend on the heterogeneity of the insured payoffs. Finally, conditions are derived under which it may be still reasonable, from a practical viewpoint, to implement Black–Scholes strategies. 相似文献
9.
10.
Elettra Agliardi 《Environmental and Resource Economics》2011,48(1):71-82
A stochastic growth model with a list of capital assets (i.e., reproducible capital, non-renewable resources, the knowledge base and institutions) is studied to evaluate the effects of different sources of uncertainty on sustainability. It is also discussed which measure can serve as an index of intergenerational welfare to evaluate sustainable development under uncertainty. The aim is to consider a more comprehensive setting than is usually explored in the literature and to generalize Arrow, Dasgupta and Mäler results to the case of uncertainty. 相似文献