鞅理论在企业投资决策中的应用(英文)

从基本的期权模型出发,利用鞅方法分析研究了不确定情况下的企业投资决策问题.研究表明投资期权和投资收益均是时间的增函数,且投资期权曲线相切于投资收益由线,在切点处,企业的投资机会成本最小,故该时刻是企业的最佳投资时刻.在投资收益是时间的增函数情况下,进一步分析指出若当前时刻位于投资期权等于投资收益的时刻之后,投资机会成本也是时间的增函数,因此,企业要么立即投资,要么永不投资,而不会无限期地延迟投资以获取较大投资收益.研究同时表明广泛应用于金融投资理论中的鞅方法在企业投资决策研究中也具有强大的分析功能.

Application of martingale theory in enterprise investment decision making

From the point of view of the basic option model,enterprise investment decision making under uncertainty is studied based on the martingale method.The study shows that investment options and yields are increasing functions of time,and when the option equals the yield,the investment opportunity cost is the least,which is the appropriate time for the enterprise investment.Under the condition that the investment yield is an increasing function of time,the investment opportunity cost is also an increasing funct...