This paper develops a dynamic incomplete-markets model of an entrepreneurial firm with unknown profitability and examines how risk aversion, idiosyncratic risk, and profitability uncertainty impact the entrepreneur's consumption and portfolio choice and entrepreneurial decisions. We find that risk aversion, idiosyncratic risk, and profitability uncertainty greatly affect the entrepreneurial firm value and the chance of establishing the entrepreneurial firm. Risk aversion and idiosyncratic risk accelerate the entrepreneur's exit, while profitability uncertainty delays it. Moreover, we find that asymmetric information greatly reduces the entrepreneurial firm value and partially explains the empirical phenomenon of undervaluing an entrepreneurial firm.

本文开发了一个盈利能力未知的创业公司的动态不完全市场模型，并研究了风险规避、特殊风险和盈利不确定性如何影响企业家的消费、投资组合选择和创业决策。我们发现风险规避、特质风险和盈利能力的不确定性极大地影响了创业公司的价值和创业公司成立的机会。风险规避和特殊风险加速了企业家的退出，而盈利能力的不确定性则延迟了退出。此外，我们发现信息不对称大大降低了创业公司的价值，并部分解释了低估创业公司价值的经验现象。