系统工程理论与实践
繫統工程理論與實踐
계통공정이론여실천
Systems Engineering—Theory & Practice
2011年
2期
247~251
,共null页
投资决策 实物期权 期权博弈 投资项目时间有限
投資決策 實物期權 期權博弈 投資項目時間有限
투자결책 실물기권 기권박혁 투자항목시간유한
investment decision; real options; option games; finite investment project life
文章讨论了不确定条件下,投资项目时间有限情况下,两企业在不同竞争环境下投资决策的期权博弈模型.求解出企业在不同竞争环境下投资临界值和企业的价值,通过数值释例和Matlab仿真计算验证结论.结果表明跟随者的投资临界值受投资项目时间的影响：随着时间的增大,增加跟随者的投资价值,加速其投资.在新市场模型下,随着市场的不确定性因素波动率的提高,减速了企业的投资.
文章討論瞭不確定條件下,投資項目時間有限情況下,兩企業在不同競爭環境下投資決策的期權博弈模型.求解齣企業在不同競爭環境下投資臨界值和企業的價值,通過數值釋例和Matlab倣真計算驗證結論.結果錶明跟隨者的投資臨界值受投資項目時間的影響：隨著時間的增大,增加跟隨者的投資價值,加速其投資.在新市場模型下,隨著市場的不確定性因素波動率的提高,減速瞭企業的投資.
문장토론료불학정조건하,투자항목시간유한정황하,량기업재불동경쟁배경하투자결책적기권박혁모형.구해출기업재불동경쟁배경하투자림계치화기업적개치,통과수치석례화Matlab방진계산험증결론.결과표명근수자적투자림계치수투자항목시간적영향：수착시간적증대,증가근수자적투자개치,가속기투자.재신시장모형하,수착시장적불학정성인소파동솔적제고,감속료기업적투자.
Investment projects are considered to have a finite life because of fast-changing technology environment,economic environment and policy environment.It analyzed the influence of finite project life on firms＇ investment strategies under uncertainty.It solved investment threshold of the firms and value of the firms in different competitive environment.It used a numerical example and Matlab software to verify the results.It shows that the follower investment threshold is sensitive to the change of the project life： Increasing investment project life raises the value of investment and accelerates the follower＇s investment. In new market,increasing volatility of uncertainty decelerates the firms＇ investment.
