摘要
利用随机停时理论 ,考虑 R&D项目的连续投资策略 .在折现率大于零的情况下 ,给出了具有建设期和残值的不确定性的 R&D投资模型、放弃 R&D项目投资的临界值和最优决策规则 ,并讨论参数对临界值的影响 .也进一步验证了随机停时理论和实物期权理论在投资决策分析中的一致性 .
Using optimal stopping theory, the paper consider an optimal investment model. Under the discount rate is allowed to be positive the model involves an optimal investment decisions for R&D project that takes an uncertain length of time to develop and salvage value which can still provide an payoff even if it is terminated without achieving its original performance objectives. Exit trigger value and the optimal decision rules are derived, and disscussed the effects of changes in the various parameters on the value of threshold remaining time. It also is shown that the stopping theory is consistent with the real option theory in imvestment decision analysis.
出处
《数学的实践与认识》
CSCD
北大核心
2005年第1期112-120,共9页
Mathematics in Practice and Theory
基金
中国博士后基金资助项目 (2 0 0 3 0 3 44 79)
国家自然科学基金资助项目 (70 2 71 0 2 8)
