系统工程理论与实践
繫統工程理論與實踐
계통공정이론여실천
Systems Engineering—Theory & Practice
2012年
4期
860~866
,共null页
排污约束 最优投资 企业价值 资本清算
排汙約束 最優投資 企業價值 資本清算
배오약속 최우투자 기업개치 자본청산
pollution constraints：optimal investment; firm value; capital liquidation
考察了在政府对企业污染排放进行限制的条件下,当企业资本存在随机波动时企业如何进行动态投资和价值评估.运用随机动态最优控制方法,得到了企业价值的自由边界常微分方程以及相应的最优投资策略和治污策略.数值计算表明,在企业资本规模较小时,企业无排污支出,且排污约束对企业的投资和定价影响较弱,而当企业资本规模较大时,企业必须支付一定的治污费用以降低自身的污染排放量;同时,排污约束不仅显著降低了企业的总价值以及资本的平均和边际价值,还减小了企业的投资动机.
攷察瞭在政府對企業汙染排放進行限製的條件下,噹企業資本存在隨機波動時企業如何進行動態投資和價值評估.運用隨機動態最優控製方法,得到瞭企業價值的自由邊界常微分方程以及相應的最優投資策略和治汙策略.數值計算錶明,在企業資本規模較小時,企業無排汙支齣,且排汙約束對企業的投資和定價影響較弱,而噹企業資本規模較大時,企業必鬚支付一定的治汙費用以降低自身的汙染排放量;同時,排汙約束不僅顯著降低瞭企業的總價值以及資本的平均和邊際價值,還減小瞭企業的投資動機.
고찰료재정부대기업오염배방진행한제적조건하,당기업자본존재수궤파동시기업여하진행동태투자화개치평고.운용수궤동태최우공제방법,득도료기업개치적자유변계상미분방정이급상응적최우투자책략화치오책략.수치계산표명,재기업자본규모교소시,기업무배오지출,차배오약속대기업적투자화정개영향교약,이당기업자본규모교대시,기업필수지부일정적치오비용이강저자신적오염배방량;동시,배오약속불부현저강저료기업적총개치이급자본적평균화변제개치,환감소료기업적투자동궤.
This paper considered an optimal problem of dynamic investment and value evaluation under uncertainty for a firm facing pollution constraints from the government.By the method of stochastic dynamic optimal controls,we derive free-boundary ordinary differential equation for the firm value,and the corresponding investment strategy and pollution control decision.The numeric results show that the corporation has no payout on the control of pollution constraints and the effect on investment.and pricing is not significant when the capital stock is low.However,if the capital stock is high enough,the firm optimally makes some payment to lower the emission and the corresponding constraints lower the firm＇s total value and the average and marginal value of the capital,and it also restrains the motivation of the investment.
