The Research of Expected Utility Models Based on Classified Information in IPO Pricing

Hai-feng Pan () and Zhi-min Li
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Hai-feng Pan: Anhui Polytechnic University
Zhi-min Li: Anhui Polytechnic University

A chapter in Proceedings of 20th International Conference on Industrial Engineering and Engineering Management, 2013, pp 943-952 from Springer

Abstract: Abstract Under the condition of private information and public information, we propose exponential and logarithmic expected utility models about optimal issue price and issue shares of IPO, and make a theoretical analysis and simulation calculation for the optimal solution. The results show that both private information and public information have influence on the issue price and the number of shares; the effect weight of private information is higher than that of public information; the issue price is negatively related to the number of shares filed; the simulation results of logarithmic expected utility model is very close to that of exponential expected utility model. Considering the Taylor approximation in logarithmic expected utility model, we can regard the results of exponential expected utility model as the optimal solution in practical application, verified by logarithmic expected utility model.

Keywords: Exponential utility; Logarithmic utility; IPO; Private information; Public information (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-642-40063-6_93

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DOI: 10.1007/978-3-642-40063-6_93

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