Multiobjective investment planning under uncertainty

In this paper we consider the relevance of various planning methods and decision criteria to multiobjective investment planning under uncertainty. Assuming that a natural reaction to uncertainty is to operate so as to leave open as many good options as possible (as opposed to maximizing subjective expected utility) we argue that the planning process should concentrate on analyzing the effects of the initial decision, and that for this exercise the classical methods of mixed integer programming are inappropriate. We demonstrate how the technique of dynamic programming can be extended to take account of multiple objectives and use dynamic programming as a framework in which we analyze the robustness of an initial decision in the face of various types of uncertainty. In so doing we also analyze the risks involved in both the planning and decision making functions.     

投资行为对房地产价格及其政策的影响

在给定的经济环境下,研究自住购房者、投资购房者和开发商之间的供需均衡模型． 通过与刚性需求的房地产市场比较,发现投资购房者的行为是影响房地产价格变化的重要因素． 特别地,外推型投资者对房地产价格的走势有推波助澜的作用; 回复型投资者虽然具有稳定市场的作用,但也会增加市场的复杂性． 当房地产市场的不同主体之间存在相互作用时,房地产价格会出现偏离基准价格、路径依赖、巨额波动和陷入低房价陷阱等现象． 政府通过调整基础经济变量(如首付比和开发成本) ,能起到调控房地产市场的目的． 相对首付比调节来说,开发成本调节既能调整基准价格,又能改变投资购房者对房地产市场的影响,可以起到综合调控房地产市场的作用,是比较有效的房地产调控措施．     

不确定环境下新技术投资策略模型研究

探讨企业关于可升级换代新技术的投资策略选择问题,建立了基于实物期权方法的投资分析模型,模型有完备的解析解.阐述分析了企业可选择的五种基本投资策略,这些策略充分考虑了隐含的期权价值,可为企业管理者提供有益的决策参考和实践指导.     

不确定性和动态能力互动下企业投资竞争决策

环境不确定性和动态能力的互动对企业国际化投资竞争策略和时机选择有着重要影响．在考虑企业先后动优势和相对能力综合影响以及内外生环境不确定性差异冲击的基础上,构建了不完全竞争市场的投资策略决策模型,并结合跨国公司在华投资实践,分析了初始能力、动态能力、先后动优势以及内外生环境不确定性对企业间投资竞争策略的均衡条件和投资时机决策的影响． 研究结果表明,先后动优势和相对能力共同决定了企业间投资竞争策略均衡; 内生不确定性和外生不确定性对竞争策略均衡产生反向冲击,对抢占时机和投资时间间隔决策却产生一致影响．     

Corporate investments and environmental regulation: The role of regulatory uncertainty,regulation-induced uncertainty,and investment history

The relation between uncertainty related to environmental regulation and corporate investments has received considerable attention in the academic literature. Previous quantitative studies, however, have not distinguished between different types of perceived regulation-related uncertainty and do not consider the potential influence of prior investments on firms' investment decisions. Therefore, this paper analyzes how decision makers' perception of two types of uncertainties – regulatory and regulation-induced uncertainty – affects corporate investments in measures to reduce environmental impact. We analyze survey data from a sample of more than 250 companies participating in the EU Emissions Trading System. The data set includes firms from different industries and countries, and covers the first two periods of the trading scheme. Regression results reveal that regulation-induced uncertainty is positively related to a firm's decision to invest, while we find no statistically significant relation to regulatory uncertainty. Moreover, we find that investment history is positively associated with investments in a specific year, but does not moderate the uncertainty–investment relation.     

Analyzing the impact of investment spikes on dynamic productivity growth

Firm-level data usually show that a large portion of firm-level investment takes place in a few investment episodes. This paper assesses productivity growth and its components in production framework that accounts for the dynamics of capital adjustment and relates this to investment spikes using firm-level data of the Spanish meat processing industry over the period 2000–2010. Using the method of impulse responses by local projections, it is shown that investment spikes produce a significant productivity change loss of 0.7% in the first year after the spike. The worsening of technology is the main cause of the reduction of productivity growth in the first year. Technology then improves in the fifth year as a result of investment spike, resulting in the U-shape pattern of relationship. Scale inefficiency significantly improves by 0.4% and 0.5% in the first and second year after the spike has occurred, respectively. All these effects, however, largely depend on the firms׳ size. In particular, it is shown that the loss of technology in the first year mainly pertains to smallest firms, while larger firms experience a negative impact on the contribution of technical inefficiency change to productivity growth.     

The impact of leader personality on new product development teamwork and performance: The moderating role of uncertainty

We examined the affect of leader personality on new product development (NPD) project performance under differing conditions of uncertainty. Our model posits teamwork as a mediating variable between leader personality and NPD performance. We hypothesized that the personality variable of openness would have a stronger influence on teamwork and NPD performance when uncertainty was high, and that the personality variables of extraversion, conscientiousness and stability would have a stronger indirect influence on NPD performance through teamwork when uncertainty was low. We used structural equation modeling to test two models of the influence of personality. In our study of 143 development projects, we support the importance of teamwork as a process variable linking leader personality to NPD performance and confirm that the effects of leader personality on these criteria depend on the level of uncertainty operating in NPD projects, thus substantiating all our hypotheses. Recommendations to re-consider hiring criteria and training for NPD project leaders are provided.     

企业投资行为不确定性与实物期权的实证分析

以实物期权定价投资分析思路,实证分析了当投资为不可逆性时不确定性因素是如何对企 业投资决策行为形成影响的机制. 运用四川省、重庆市227 家工业企业1998 —1999 年的面版数据 (panel data set) ,检验了不确定性条件下不可逆投资模型的预测性. 基于企业投资决策者关于未来 企业产出需求主观概率分布的抽样调查信息,构造了企业产出需求的期望方差,作为不确定性因素 的测度. 实证分析结果表明,对于命题不确定性程度越高投资临界水平值就越大,样本企业的数据 信息给予了支持,但对于命题仅当企业资本边际收益产出达到投资临界水平值时企业方才投资,样 本企业的数据信息却缺乏充分证据予以支持,对此现象论文给出了若干解释.     

The impact of minimum taxation by an imputable wealth tax on capital budgeting and business strategy of German companies

An alternative minimum tax (AMT) that guarantees a minimum tax payment even in case of losses is often regarded desirable. We analyze the influence of a wealth tax designed as AMT on marginal investment decisions and provide an analytical approach and numerical analyses identifying distortive effects. We present a wealth tax AMT paradox under loss offset restrictions. Modelling enterprises of different structure, industry, size and legal status we show that companies in the financial services sector are more frequently subjected to this AMT than capital intensive industries. This result runs counter to well-known effects of a common wealth tax. We resume that whenever income is taxed correctly, AMT is dispensable.

The impact of component commonality in an assemble-to-order environment under supply and demand uncertainty

A material requirements planning simulator with a two-level bill-of-material is used to study the impact of introducing component commonality into an assemble-to-order environment when demand is subject to random variations, and component procurement orders experience random delays. By using simulated data, our ANOVA results show that component commonality significantly interacts with existence of demand and supply chain uncertainties, and benefits of component commonality are most pronounced when both uncertainties exist.     

Knight不确定与随机汇率下外商投资决策

在奈特不确定及机制转换环境下研究了汇率变动对跨国投资决策的影响.首先,通过It(o)公式,推导得出机制转换环境下利润流的动力学方程.其次,利用最大最小期望效用(α-MEU)偏好模型对项目投资期望值进行了刻画.再利用随机分析方法推导出在奈特不确定及机制转换环境下考虑汇率变动的项目预期价值公式及利润流临界现值.最后,对结果进行数值模拟,分析了不同参数对跨国投资的影响.     

Location-boundedness,investment irreversibility,and divestment of international joint ventures under host market demand uncertainty

We employ the real options perspective to examine how the irreversibility of location-bound assets and resources affects the divestment of international joint ventures (IJVs) under exogenous uncertainty in host countries. Utilizing a large sample of Korean IJVs and addressing a sample selection of IJVs and the endogeneity of firms’ choice of location-bound investments, we find that high host market demand uncertainty interacts with localized products or local sales forces and reduces divestment rates of IJVs. We also find that the deterrent effects of these two country-specific investments are more salient for IJVs with local sourcing and sales. These findings imply that the deterrent effect of location-boundedness is congruent with the uncertainty-based real options theory when explaining IJV divestment.     

The effect of investment on unit cost and on profit

This paper investigates the effects of investment decisions on unit cost, profit and return on capital. Its purpose is to propose an alternative formulation to conventional cash flow methods for investment appraisal. This formulation can be combined with a methodology for assessing the short-run effects of management decisions and/or external factors on cost and profit performance measures.     

Compliance costs — The cost of paying tax

Compliance costs are the costs which taxpayers and others incur in meeting obligations imposed under tax legislation. The following paper reviews the existing body of research into these costs, considers the methodological problems revealed by research, and assesses the significance of compliance costs to public policy.     

Assessing the impact of uncertainty and the level of aggregation in case mix planning

In this article, we present a framework for evaluating the impact of uncertainty and the use of different aggregation levels in case mix planning on the quality of strategic decisions regarding the case mix of a hospital. In particular, we analyze the effect of modeling (i) demand, (ii) resource use, and (iii) resource availability as stochastic input parameters on the performance of case mix planning models. In addition, the consequences of taking the weekly structure with inactive days without surgeries into account are assessed (iv). The purpose of this paper is to provide a guideline for the decision-maker planning the case mix on the consideration of stochastic aspects and different aggregation levels. We formulate a mixed integer programming model for case mix planning along with different stochastic and deterministic extensions. The value of the different extensions is analyzed using a factorial design. The resulting stochastic models are solved using sample average approximation. Simulation is used to evaluate the strategies derived by the different models using real-world data from a large German hospital. We find that highly aggregated basic case mix planning models can overestimate the objective value by up to 10% and potentially lead to biased results. Refining the problem decreased the gap between projected case mix planning results and simulated results considerably and led to improved solutions.     

Changes in mental well-being,blood pressure and total cholesterol levels during workplace reorganization: The impact of uncertainty

The aim of this study was to investigate the effects of uncertainty caused by large-scale workplace reorganization, on psychological well-being, blood pressure and total cholesterol levels. Employees (98 women and 86 men) were assessed four times, at approximately 6-monthly intervals, twice before and twice after reorganization. Self-reported psychological well-being was at its lowest level shortly prior to reorganization, as predicted. Greater self-reported uncertainty about one's own future occupational situation was associated with a bigger reduction in mental well-being before reorganization, as was role ambiguity after reorganization. Systolic blood pressure was elevated over initial levels just prior to reorganization, and shortly after reorganization, but at the final assessment was not significantly different from initial levels. A bigger increase in systolic blood pressure was seen in those reporting greater future job uncertainty before reorganization, and in those who started a new job or who reported greater role ambiguity after reorganization. Diastolic blood pressure was also significantly elevated over initial levels just before reorganization, but this effect became nonsignificant once changes in body mass index were statistically controlled. Total cholesterol also reached its highest level just prior to reorganization, but this effect was not significant. It is concluded that workplace reorganization caused significant increases in distress and in systolic blood pressure and that uncertainty contributed to these effects.     

研发投入对企业绩效的影响研究 ——基于企业金融化水平门限回归

本文选取1435家A股上市公司2011—2018年度的面板数据,以企业金融化水平作为门限变量,研究企业研发投入对企业绩效的非线性影响关系。研究结果表明:(1)企业金融化行为给研发投入对企业绩效的促进作用带来严重的时滞效应,研发投入对当年企业绩效不存在促进作用;(2)研发投入对未来一年企业绩效有双门限效应,二者呈倒N型关系,在第二区间内研发投入促进未来一年企业绩效;研发投入对未来二年企业绩效有单门限效应,在第一区间内研发投入促进未来二年企业绩效;(3)在适度的企业金融化水平区间内,研发投入才会促进未来企业绩效。本文指出上市公司金融化水平最优区间占比分布具有区域、行业和企业性质异质性,并进一步基于实证研究结果提出了相应的政策建议,有利于企业合理管理研发投入和防止企业脱实向虚。     

信息技术投资降低搜索成本对市场的均衡分析

根据产品空间差异模型 ,应用博弈论的均衡理论 ,分析了在销售商不进行合谋或没有市场垄断力量的情况下 ,销售商投资信息技术以后 ,引起消费者搜索成本降低对销售商产生的不同影响 :销售商无论作为个体还是整体 ,其利润收益值都降低 .但是 ,对信息技术投资力度大并使消费者搜索成本降低得更多的销售商 ,则可扩大市场占有率和提高市场竞争力 ,因此销售商具有投资激励 .分析了销售商在降低搜索成本后的对应策略 .搜索成本降低尽管减少了销售商利润 ,但能提高消费者和整个社会的福利水平 .分析了当消费者搜索成本降低到极限时 ,市场处于一种最优的古典竞争均衡状态 ,价格等于边际成本 ,销售商利润为零 ,消费者占有完全剩余 .分析和解释了信息技术生产率悖论问题