英文标题：
《Investment under uncertainty, competition and regulation》
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作者：
Adrien Nguyen Huu (FiME Lab, IMPA)
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最新提交年份：
2014
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英文摘要：
We investigate a randomization procedure undertaken in real option games which can serve as a basic model of regulation in a duopoly model of preemptive investment. We recall the rigorous framework of [M. Grasselli, V. Lecl\\`ere and M. Ludkovsky, Priority Option: the value of being a leader, International Journal of Theoretical and Applied Finance, 16, 2013], and extend it to a random regulator. This model generalizes and unifies the different competitive frameworks proposed in the literature, and creates a new one similar to a Stackelberg leadership. We fully characterize strategic interactions in the several situations following from the parametrization of the regulator. Finally, we study the effect of the coordination game and uncertainty of outcome when agents are risk-averse, providing new intuitions for the standard case.
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中文摘要：
我们研究了实物期权博弈中的随机过程，它可以作为先发制人投资的双寡头模型中监管的基本模型。我们回顾了[M.Grasselli，V.Lecl\\`ere和M.Ludkovsky，《优先选择：成为领导者的价值》，国际理论与应用金融杂志，2013年16月号]的严格框架，并将其扩展到随机监管机构。该模型概括和统一了文献中提出的不同竞争框架，并创建了一个类似于Stackelberg领导力的新框架。我们充分描述了在调节器参数化之后的几种情况下的战略互动。最后，我们研究了当代理人规避风险时，协调博弈和结果不确定性的影响，为标准情况提供了新的直觉。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Computer Science 计算机科学
二级分类：Computer Science and Game Theory 计算机科学与博弈论
分类描述：Covers all theoretical and applied aspects at the intersection of computer science and game theory, including work in mechanism design, learning in games (which may overlap with Learning), foundations of agent modeling in games (which may overlap with Multiagent systems), coordination, specification and formal methods for non-cooperative computational environments. The area also deals with applications of game theory to areas such as electronic commerce.
涵盖计算机科学和博弈论交叉的所有理论和应用方面，包括机制设计的工作，游戏中的学习（可能与学习重叠），游戏中的agent建模的基础（可能与多agent系统重叠），非合作计算环境的协调、规范和形式化方法。该领域还涉及博弈论在电子商务等领域的应用。
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一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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