Strategic technology adoption and hedging under incomplete markets

被引：8
作者：
Leippold, Markus [1 ]
Stromberg, Jacob [1 ]
机构：
[1] Univ Zurich, Switzerland & Swiss Finance Inst, Dept Banking & Finance, Zurich, Switzerland
来源：
JOURNAL OF BANKING & FINANCE | 2017年 / 81卷
关键词：
Real options; Incomplete markets; Technology adoption; Optimal portfolio choice; Hedging; PORTFOLIO CHOICE; REAL OPTIONS; CONTINUOUS-TIME; NONDIVERSIFIABLE RISK; UNCERTAINTY; INVESTMENT; ENTREPRENEURSHIP; CONSUMPTION; INFORMATION; PREEMPTION;
D O I：
10.1016/j.jbankfin.2016.09.008
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We investigate the implications of technological innovation and non-diversifiable risk on entrepreneurial entry and optimal portfolio choice. In a real options model where two risk-averse individuals strategically decide on technology adoption, we show that the impact of non-diversifiable risk on the option timing decision is ambiguous and depends on the frequency of technological change. Compared to the complete market case, non-diversifiable risk may accelerate or delay the optimal investment decision. Moreover, strategic considerations regarding technology adoption play a central role for the entrepreneur's optimal portfolio choice in the presence of non-diversifiable risk. (C) 2016 Elsevier B.V. All rights reserved.
引用
收藏
页码：181 / 199
页数：19
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