上海财经大学杨金强:A theory of Liquidity and Risk Management

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We formulate a theory of corporate liquidity and risk management for a firm run
by a risk-averse entrepreneur, who cannot irrevocably commit her human capital. The
firm’s optimized balance sheet comprises illiquid capital, K, and cash and marketable
securities, S, on the asset side, and equity and an endogenous line of credit on the lia-
bility side. The value-maximizing firm optimally smoothes compensation and manages
its idiosyncratic and systematic risk exposures so as to retain managerial talent and
maximize its investment efficiency. As the liquidity-to-capital ratio s = S/K approach-
es the endogenous credit limit, the firm optimally responds by cutting investment and
compensation, selling insurance, and reducing both the idiosyncratic and systematic
volatilities of s. In contrast, less constrained firms invest more in the market portfolio
seeking to attain the mean-variance frontier for their entrepreneurs/key employees.

杨金强,湖南大学数量经济学博士,美国哥伦比亚大学商学院联合培养博士,现任上海财经大学金融学院教授,博士生导师,证券期货系主任,研究生院副院长。教育部“长江学者奖励计划”青年学者,国家自然科学基金为委优秀青年基金获得者,教育部新世纪优秀人才支持计划获得者,霍英东教育基金会青年教师基金获得者,上海市青年拔尖人才,上海市晨光学者,上海财经大学创新团队首席专家。同时兼任全国金融系统青年联合会委员,上海市突出贡献专家协会青年英才分会副会长等。最近五年主要致力于动态公司金融和资产定价的理论研究。在国际顶级金融学和经济学期刊JFERFSJET,以及《经济研究》,《管理科学学报》等国内权威期刊发表论文18篇。学术成果曾获全美华人金融协会(TCFA)最佳论文奖、中国金融博物馆第三届青年金融学者奖、第十二届中国金融学年会优秀论文一等奖等多个奖项。


 
 
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