题目：Strategic Investment under Uncertainty with First-and Second-Mover Advantages

报告人：戴民 教授 （香港理工大学）

时间：2023年4月6日（星期四） 14：00—15：00

地点：致远楼 101室

摘要：We analyze a duopoly real-option entry game where the second mover has a cost advantage over the first mover. The game model is formulated as a variational inequality. The equilibrium solution features five regions. In addition to the option-value-of-waiting and competing-to-enter (first-mover-advantage) regions (Fudenberg and Tirole, 1985; Dixit and Pindyck, 1995; Grenadier, 1996), three new regions appear due to the second-mover advantage: a waiting-to-be-Follower region and two disconnected probabilistic-entry regions. Only when market demand is very high does Follower immediately enter after Leader does. The second-mover advantage causes firms to use state-contingent mixed strategies, significantly delaying their entry timing. Our model generates some new predictions. This is a joint work with Zhaoli Jiang and Neng Wang. 报告人简介：Min Dai is Chair Professor in Applied Statistics and Financial Mathematics, Department of Applied Mathematics, 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, 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 many academic journals, including Finance and Stochastics, Journal of Economic Dynamics and Control, SIAM Journal on Financial Mathematics, and Mathematics and Financial Economics.

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