A Model of Investment Behavior of Enterprise Owner in an Imperfect Capital Market

This paper presents a framework for the study of how the profitability of business environment impacts the investment behavior of the enterprise owner in the case of imperfect capital market with essentially higher interest rates for borrowing than for saving. This question is important for the resumption of economic growth in Russia. The profitability of business environment in an imperfect market can be valued in terms of Cantor–Lippman approach. In this paper we propose an infinite-horizon optimal control problem that represents the investment behavior of an enterprise owner. In terms of our framework the market imperfection is modeled via phase restriction on the cash of the owner. That makes difficulties with studying the optimal control in the model. We construct the solution via analysis of the finite-horizon problem and apparatus of viscosity solutions of the Hamilton–Jacobi–Bellman equation. We show that the type of investment behavior depends on the ratio of profitability indicator of business environment to owner’s discount rate.

Авторы
Obrosova N.K. 1, 2, 3 , Shananin A.A. 1, 2, 3, 4 , Spiridonov A.A.1
Издательство
Pleiades Publishing
Номер выпуска
4
Язык
Русский
Страницы
1018-1031
Статус
Опубликовано
Том
43
Год
2022
Организации
  • 1 Moscow Institute of Physics and Technology (State University)
  • 2 Moscow Center for Fundamental and Applied Mathematics, Lomonosov Moscow State University
  • 3 Dorodnicyn Computing Centre of FRC CSC RAS
  • 4 Peoples’ Friendship University of Russia (RUDN University)
Ключевые слова
investment's profitability; imperfect capital market; Cantor-Lippman model; optimal control; viscosity solution; HJB equation
Дата создания
28.12.2023
Дата изменения
28.12.2023
Постоянная ссылка
https://repository.rudn.ru/ru/records/article/record/95474/
Поделиться

Другие записи

Фролов П.А., Жесткова М.А., Овсянников Д.Ю., Айрапетян М.И., Топилин О.Г., Корсунский А.А., Бойцова Е.В., Запевалова Е.Ю., Орлов А.В., Макаренко Е.В., Марченков Я.В., Бережанский П.В., Горев В.В.
Педиатрия. Consilium Medicum. Общество с ограниченной ответственностью Медицинское маркетинговое агентство МедиаМедика. 2022. С. 166-173
Фролов П.А., Жесткова М.А., Овсянников Д.Ю., Топилин О.Г., Айрапетян М.И., Пушко Л.В., Бойцова Е.В., Запевалова Е.Ю., Орлов А.В., Горев В.В.
Pediatriya - Zhurnal im G.N. Speranskogo. Том 101. 2022. С. 29-36