【作者】 阳军；

【导师】 孟卫东；

【作者基本信息】 重庆大学 ， 管理科学与工程， 2010， 博士

【摘要】 投资决策,即企业资源最优配置的选择,对于企业的生存和发展具有深远的影响。现代企业面临着在多变的经济形势和诸多不确定因素影响下如何做出正确投资决策的问题。经济全球化下的投资决策往往呈现出投资决策不确定、投资不可逆性、投资灵活性和竞争性的新的特征。因此,企业的投资项目要作出科学的、最优的投资决策,就离不开科学的投资决策理论评估方法。如何提高资本投资决策水平,建立合理的投资决策评价方法正是国内外理论与实务界长期关注的重要课题。本文首先回顾了传统项目投资决策分析理论方法,指出其存在的不足,接着回顾了实物期权理论的发展,评述了实物期权在投资领域的应用。由于传统投资决策理论自身存在不合理的假设,导致其在不确定环境下评价投资项目无法估计各种潜在的投资机会,因此往往造成低估项目价值,以致决策错误。实物期权理论被证明比较适合研究不确定性条件下不可逆的投资,但基本的实物期权理论侧重于研究投资时机选择,忽略了企业所具有的投资规模决策的灵活性。本文进一步引入投资规模的灵活性,并假定企业面临线性逆需求曲线,将产品价格和企业收益作为由外生性因素和内生性因素共同发挥作用的随机过程。基于实物期权理论构建了完全垄断条件下,企业同时选择最优投资时机和投资规模的模型,并将其扩展到序列投资以及存在竞争的情形,分析了不确定性对企业投资时机和投资规模的影响。本文丰富了实物期权理论,开拓了企业投资决策视野,提高投资决策的科学性和准确性。因此,本文对目前研究不确定性条件下企业投资决策问题具有一定的学术价值和应用前景。本论文的创新之处主要体现在以下几个方面:1、构建了完全垄断条件下,企业同时选择最优投资时机和投资规模的决策模型。构建了不变产出和可变产出情形下,企业同时选择最优投资时机和投资规模的决策模型。求解出两种情形下,企业最优投资时机和投资规模的解析表达式,并通过数值模拟直观分析了两种情形下最优投资时机和投资规模受不确定性影响变化的特征。进而从实物期权的角度对产能利用率进行了新的定义,分析了不确定性对企业产能利用率的影响,阐述了过度投资存在的两种形式。2、构建了序列投资条件下,企业同时选择最优投资时机和投资规模的决策模型。在第一个创新点的基础上,针对典型的两阶段投资,分析各阶段产出数量对价格和收益的影响,构建了不存在投资规模约束下,两阶段投资同时选择最优投资时机和投资规模的模型,分析了不确定性对各阶段最优投资时机和投资规模的影响;构建了既定投资规模下,两阶段投资同时选择最优投资时机和最优投资比例的模型,分析了不同的投资比例对投资价值的影响,分析了不确定性对企业各阶段投资时机和投资比例的影响。3、基于期权博弈构建了存在竞争条件下,企业同时选择最优投资时机和投资规模的决策模型。在第一个创新点的基础上,针对不确定条件下存在竞争,基于企业角色是外生确定和内生确定的两种情形,构建了企业同时选择最优投资时机和投资规模的期权博弈模型。企业角色外生确定下,竞争没有改变领先者的决策,但减少了领先者的投资价值;企业角色内生确定下,竞争降低了企业的期权价值,促使企业以较小规模提前投资。更多还原

【Abstract】 Investment decision, namely the optimal allocation of resources, significantly influences the survival and development of enterprises. More and more modern enterprises are facing the problem which is how to make the right investment decision under the changeful economic situation and with many uncertain factors. The investment decision under economic globalization often presents the new characteristics of uncertainty, irreversibility, flexibility and competition. To make scientific, optimal investment decision for investment projects needs scientific investment decision-making theories and evaluation methods. It is a long-term and important task for both national and international theorists and practitioners about how to improve the capital investment decision-making level and build reasonable evaluation methods of investment decision.This dissertation first reviews the traditional analysis method of project investment decision, illustrating its defects, and then reviews the development of the Theory of Options, discussing the Real Option in the practice of investment. Because the traditional investment decision theory has unreasonable hypothesis, the evaluation of investment projects under uncertain environment cannot estimate the potential investment opportunities so that it often underestimate the value of the project to make the wrong decisions. The Real Option Theory is proved to be the appropriate theory for study of irreversible investment under uncertainty, but the basic Real Option Theory stresses on the investment timing and ignores the flexibility of enterprises in making decision on investment scale. In this dissertation, flexibility of investment scale is introduced, and having the assumption that the enterprises are faced with linear demand curve, treating product price and profit as exogenous and endogenous factors to play the role of stochastic process. Based on the Real Option Theory, this dissertation constructs a model for the enterprises to select optimal investment timing and optimal investment scale under the complete monopoly and expands the theory to sequential investment and under the competitive situation, analyzing the influence of uncertainty to enterprises’investment timing and investment scale. This dissertation enriches the Real Option Theory, extending the perspective of enterprises’investment decision-making, which is helpful for further enhance the rationality and accuracy of enterprises’investment decisions. Therefore, this dissertation has the actual academic value and application prospect in researching enterprises’investment decision-making under uncertainty.The innovations of this paper are mainly in the following aspects:First, this dissertation builds a model for the enterprises in concurrently selecting the optimal investment timing and making decision on investment scale under the complete monopoly.This model obtains the analytical expression of enterprises’optimal investment timing and optimal investment scale under constant and variable produce output. And through numerical simulation this model directly analyzes under different conditions the characteristics of optimal investment timing and decision making on investment scale which are affected by uncertainty. Then this paper redefines the rate of capacity utilization from the Real Options Theory, analyzing the influence of uncertainty to enterprises’rate of capacity utilization, illustrating two forms of excessive investment.Second, this paper builds the decision model when enterprise concurrently selects the optimal investment timing and optimal investment scale under the sequential investment.Based on the first innovation and analyzed the impacts of output in each stage to the price and profit according to the typical two-stage investment decision making, this study constructs the model of concurrent selection of optimal investment timing and optimal investment scale without restriction of investment scale and extends the model under the fixed investment scale, analyzing the effects of various investment proportions on investment value, analyzing the effects of uncertainty on investment timing and investment proportion of enterprises’each stage.Finally, based on the Option Game, this paper builds the decision model for enterprises’concurrent selection of optimal investment timing and optimal investment scale under the competitive condition.Based on the first innovation and Option Game, this paper establishes that in the uncertain competition and under the situations of enterprise’s role is certain exogenously and endogenously, the Option Game model for enterprises’concurrent selection of optimal investment timing and optimal investment scale. When the enterprise’s role is certain exogenously, the competitions do not change the leaders’decision but reduce the leader’s investment value. While the enterprise’s role is certain endogenously, the competitions reduce enterprise’s option value and promote the enterprises to invest early on a smaller scale.更多还原