卡尔曼过器对实际选择的方法与积极学习.
Sebastian Sund1, Lars H Sendstad1, Jacco J J Thijssen2
1Department of Industrial Economics and Technology Management, NTNU, 7491 Trondheim, Norway.
概括
本研究介绍了市场利不确定性的决策工具,结合了学习和风险厌恶. 避风险会加速投资,但会降低随着时间的推移从市场信号中学习的总体价值.
科学领域:
- 决策分析 决策分析
- 金融建模金融建模
- 技术创新技术创新技术创新
背景情况:
- 来自技术创新的新市场创造了评估利能力的激励因素.
- 投资决策涉及不确定的利能力和决策者的风险态度.
- 现有的模型往往不能充分考虑学习过程和风险厌恶.
研究的目的:
- 开发一种决策支持工具,用于评估利不确定性的投资机会.
- 将学习和风险回避的影响纳入决策过程.
- 分析在不确定性和学习条件下投资的最佳时间.
主要方法:
- 卡尔曼波器的应用用于不确定的过程的时间变量估计.
- 投资选择的估值取决于估计的过程参数.
- 专注于具有正常分布的噪声的线性随机过程.
- 数字分析探索决策者行为和选项价值.
主要成果:
- 随着时间的推移,学习的边际收益显著减少.
- 最佳的投资时机往往是在期权持有期的早期.
- 避免风险导致早期的投资决策.
- 避免风险降低了学习的价值和等待更多信息的好处.
结论:
- 开发的工具有效地模拟了投资决策中的学习和风险回避.
- 早期投资受到青,特别是对于不愿冒风险的人来说,因为学习收益正在减少.
- 风险回避会对随着时间的推移学习和观察市场信号所产生的价值产生负面影响.
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