岭南学术论坛系列讲座（第680期）

主要内容：

Back and Paulsen (2009) advocate using closed-loop equilibria as the solution concept to characterize firm strategies for real option exercise games analyzed in Grenadier (2002) so that a firm can respond to its competitor’s strategy and the equilibrium is then Markov subgame perfect. They identify a closed-loop equilibrium in which using the net present value (NPV) rule forms mutually best responses. The resulting outcome is the same as a perfectly competitive outcome in which firms ignore the option value of waiting and make zero profits. We define closed-loop equilibria and show that there exist three sets of (infinitely many) closed-loop equilibria in which afirm invests more than in the open-loop equilibrium of Grenadier (2002) but less than in the perfectly competitive outcome. In equilibrium, the firm makes positive profits, confirming Back and Paulsen (2009)’s conjecture. Moreover, we find that the highest option value among the closed-loop equilibria corresponds to the lowest investment level below which preemption becomes a profitable deviation.

报告人简介：

Min Dai is Chair Professor in Applied Statistics and Financial Mathematics, Department of Applied Mathematics and School of Accounting and Finance, The Hong Kong Polytechnic University (HKPolyU). Prior to joining HKPolyU in 2021, he taught at National University of Singapore and Peking University after receiving his PhD degree from Fudan University in 2000. His research focuses on financial derivative pricing, portfolio selection with market imperfections, corporate finance, and financial technology. He published in peer-reviewed journals of different disciplines, such as Journal of Econometrics, Journal of Economic Theory, Journal of Finance, Management Science, Mathematical Finance, Review of Financial Studies, and SIAM Journals.  Currently he is a Co-editor of Digital Finance and serves in editorial boards of some academic journals, including Operations Research, Finance and Stochastics, Journal of Economic Dynamics and Control, SIAM Journal on Financial Mathematics, and Mathematics and Financial Economics.

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       中山大学岭南学术论坛系列讲座是中山大学岭南学院自2012年推出的品牌学术活动，迄今已成功举办680期，得到了学界的高度评价。 岭南学术论坛分经济学和金融学两大系列，是定期邀请国内外优秀学者前来开展学术交流的平台。