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《金融理论与公司决策》一书是金融领域的经典教材，在美国教学界深受好评。它将理论、实证与应用相结合，旁征博引，说理透彻，为读者提供了广泛的视角，提出了研究金融学的主流思想方法。第4版进行了重要修订，以期反映金融领域最新、最重要的研究成果。
《金融理论与公司决策》适合作为公司财务和投资学课程的教材使用。
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狄俄尼索斯 (在这个信奉撒旦为救世主的世界里)
Mello and Parsons [2000] and Copeland and Copeland [1999] point out that the objective of minimizing the volatility of cash flows (i.e.,risk minimization) is neither a necessary nor a sufficient condition for maximizing the value of the firm.They model the benefit of risk management as the present value of pushing away the expected time of business disruption.Costs are measured as the present val...20140610 22:06
Mello and Parsons [2000] and Copeland and Copeland [1999] point out that the objective of minimizing the volatility of cash flows (i.e.,risk minimization) is neither a necessary nor a sufficient condition for maximizing the value of the firm.They model the benefit of risk management as the present value of pushing away the expected time of business disruption.Costs are measured as the present value of expected management time and transaction costs.If the ratio of benefits to costs is greater than one,the company should hedge;otherwise it should not.Later on,we shall see that an important distinction between value maximization and risk minimization is that some companies will hedge and others will not——even within the same industry——given value maximization.But with risk minimization it is always possible to reduce risk,no matter how inefficient the hedge;therefore all companies would hedge.Figure 17.12 shows the unhedged cash flows of a company modeled as a GaussWeiner process (the solid line) and hedged cash flows as a second GaussWeiner process (the dashed line).If we designate the hedged cash flows as P_t,the drift per unit time of the hedged cash flow as \mu ,and \sigma as the standard deviation,then ($$\frac{dP_t}{P}=\mu dt+\sigma dz$$), ($$P_t=P_0e^{(\mu\frac{\sigma^2}{2})t+\sigma z_t}$$)The firm finds its business disrupted when its hedged cash flows touch a lower boundary (the straight solid line) : ($$h_t=h_0e^{rt}$$) The business disruption condition occurs when ($$P_t=h_t$$).This "touching condition"may be written as ($$P_t=h_t iff (\mu\frac{\sigma^2}{2}r)t+\sigma z_t=Ln \frac{h_0}{P_0}$$).By integration,the expected time to business disruption is ($$E(T)=\frac{b}{a}$$),where ($$a=\frac{\mu}{\sigma}\frac{\sigma}{2}\frac{r}{\sigma}$$), ($$b=\frac{1}{\sigma}Ln\frac{h_0}{P_0}$$). ($$E(T)=\frac{Ln(P_0/h_0)}{\mur\frac{\sigma^2}{2}}$$).The expected time to business disruption increases as the variance of hedged cash flow,\sigma,decreases.It also increases (?) as the initial cash flows coverage,namely,P_0/h_0,increases,and it increases as the drift in hedged cash flows relative to the drift in the boundary condition,\mur,increases.These results are intuitive and clearly indicate that variance reduction is not the only consideration for hedging.In fact,even if the hedge reduces \sigma,it may decrease \mu enough to decrease the expected time to ruin.Variance reduction is not sufficient to increase E(T).It is not necessary either if the hedge decreases \mu.回应 20140610 22:06

狄俄尼索斯 (在这个信奉撒旦为救世主的世界里)
Mello and Parsons [2000] and Copeland and Copeland [1999] point out that the objective of minimizing the volatility of cash flows (i.e.,risk minimization) is neither a necessary nor a sufficient condition for maximizing the value of the firm.They model the benefit of risk management as the present value of pushing away the expected time of business disruption.Costs are measured as the present val...20140610 22:06
Mello and Parsons [2000] and Copeland and Copeland [1999] point out that the objective of minimizing the volatility of cash flows (i.e.,risk minimization) is neither a necessary nor a sufficient condition for maximizing the value of the firm.They model the benefit of risk management as the present value of pushing away the expected time of business disruption.Costs are measured as the present value of expected management time and transaction costs.If the ratio of benefits to costs is greater than one,the company should hedge;otherwise it should not.Later on,we shall see that an important distinction between value maximization and risk minimization is that some companies will hedge and others will not——even within the same industry——given value maximization.But with risk minimization it is always possible to reduce risk,no matter how inefficient the hedge;therefore all companies would hedge.Figure 17.12 shows the unhedged cash flows of a company modeled as a GaussWeiner process (the solid line) and hedged cash flows as a second GaussWeiner process (the dashed line).If we designate the hedged cash flows as P_t,the drift per unit time of the hedged cash flow as \mu ,and \sigma as the standard deviation,then ($$\frac{dP_t}{P}=\mu dt+\sigma dz$$), ($$P_t=P_0e^{(\mu\frac{\sigma^2}{2})t+\sigma z_t}$$)The firm finds its business disrupted when its hedged cash flows touch a lower boundary (the straight solid line) : ($$h_t=h_0e^{rt}$$) The business disruption condition occurs when ($$P_t=h_t$$).This "touching condition"may be written as ($$P_t=h_t iff (\mu\frac{\sigma^2}{2}r)t+\sigma z_t=Ln \frac{h_0}{P_0}$$).By integration,the expected time to business disruption is ($$E(T)=\frac{b}{a}$$),where ($$a=\frac{\mu}{\sigma}\frac{\sigma}{2}\frac{r}{\sigma}$$), ($$b=\frac{1}{\sigma}Ln\frac{h_0}{P_0}$$). ($$E(T)=\frac{Ln(P_0/h_0)}{\mur\frac{\sigma^2}{2}}$$).The expected time to business disruption increases as the variance of hedged cash flow,\sigma,decreases.It also increases (?) as the initial cash flows coverage,namely,P_0/h_0,increases,and it increases as the drift in hedged cash flows relative to the drift in the boundary condition,\mur,increases.These results are intuitive and clearly indicate that variance reduction is not the only consideration for hedging.In fact,even if the hedge reduces \sigma,it may decrease \mu enough to decrease the expected time to ruin.Variance reduction is not sufficient to increase E(T).It is not necessary either if the hedge decreases \mu.回应 20140610 22:06

狄俄尼索斯 (在这个信奉撒旦为救世主的世界里)
Mello and Parsons [2000] and Copeland and Copeland [1999] point out that the objective of minimizing the volatility of cash flows (i.e.,risk minimization) is neither a necessary nor a sufficient condition for maximizing the value of the firm.They model the benefit of risk management as the present value of pushing away the expected time of business disruption.Costs are measured as the present val...20140610 22:06
Mello and Parsons [2000] and Copeland and Copeland [1999] point out that the objective of minimizing the volatility of cash flows (i.e.,risk minimization) is neither a necessary nor a sufficient condition for maximizing the value of the firm.They model the benefit of risk management as the present value of pushing away the expected time of business disruption.Costs are measured as the present value of expected management time and transaction costs.If the ratio of benefits to costs is greater than one,the company should hedge;otherwise it should not.Later on,we shall see that an important distinction between value maximization and risk minimization is that some companies will hedge and others will not——even within the same industry——given value maximization.But with risk minimization it is always possible to reduce risk,no matter how inefficient the hedge;therefore all companies would hedge.Figure 17.12 shows the unhedged cash flows of a company modeled as a GaussWeiner process (the solid line) and hedged cash flows as a second GaussWeiner process (the dashed line).If we designate the hedged cash flows as P_t,the drift per unit time of the hedged cash flow as \mu ,and \sigma as the standard deviation,then ($$\frac{dP_t}{P}=\mu dt+\sigma dz$$), ($$P_t=P_0e^{(\mu\frac{\sigma^2}{2})t+\sigma z_t}$$)The firm finds its business disrupted when its hedged cash flows touch a lower boundary (the straight solid line) : ($$h_t=h_0e^{rt}$$) The business disruption condition occurs when ($$P_t=h_t$$).This "touching condition"may be written as ($$P_t=h_t iff (\mu\frac{\sigma^2}{2}r)t+\sigma z_t=Ln \frac{h_0}{P_0}$$).By integration,the expected time to business disruption is ($$E(T)=\frac{b}{a}$$),where ($$a=\frac{\mu}{\sigma}\frac{\sigma}{2}\frac{r}{\sigma}$$), ($$b=\frac{1}{\sigma}Ln\frac{h_0}{P_0}$$). ($$E(T)=\frac{Ln(P_0/h_0)}{\mur\frac{\sigma^2}{2}}$$).The expected time to business disruption increases as the variance of hedged cash flow,\sigma,decreases.It also increases (?) as the initial cash flows coverage,namely,P_0/h_0,increases,and it increases as the drift in hedged cash flows relative to the drift in the boundary condition,\mur,increases.These results are intuitive and clearly indicate that variance reduction is not the only consideration for hedging.In fact,even if the hedge reduces \sigma,it may decrease \mu enough to decrease the expected time to ruin.Variance reduction is not sufficient to increase E(T).It is not necessary either if the hedge decreases \mu.回应 20140610 22:06
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