Dynamics of Entrepreneurship under Regime Switching

摘要：

　　We propose a tractable model of entrepreneur dynamics where the investment conditions are stochastic.Applying the approach of stochastic control and optimization,we solve the dynamics of the entrepreneurs optimal investment,consumption and portfolio allocation under regime switching.We find that the interactions of precautionary savings and liquidation boundary advance/postpone motives generate rich implications for entrepreneur dynamics.Facing the threat of financial crisis,entrepreneurs build cash reserves and bring forward liquidation option exercise to mitigate downside risk.During the bad times,entrepreneurs value financial slack and postpone liquidation boundary to maintain the business and wait for the good state to come.

关键词： Regime Switching Entrepreneurial Finance q Theory of Investment Liquidity Constraints Precautionary Saving

作者: Sha Sun Jinqiang Yang Minghui Li

作者单位: School of Finance,Shanghai University of Finance and Economics,Shanghai,China

会议类型: 国际会议

会议名称: 2013 China Finance Review International Conference(第六届(2013)中国金融评论国际研讨会)

会议地点: 上海

会议语种:英文

页码: 948-966

在线出版日期: 2013-07-08（万方平台首次上网日期，不代表论文的发表时间）