摘要
在风险投资中,分阶段投资的投资时机选择问题是风险投资家决策的最大难点问题。首先通过构建虚拟现金流变量,使风险投资前、中、后阶段的分析纳入一个统一的框架;其次应用或有债权定价技术分析了基于一般事件的分阶段最优投资规则。并结合动态规划技术,应用跳跃—扩散过程刻划突发事件对分阶段投资项目现金流的影响路径,分析了基于突发事件的分阶段最优投资规则;最后,应用工程数学软件Matlab6.5对一般情况和突发事件下的投资时机进行了数值模拟和比较分析,得出了一些有益的研究结论。
The optimal time of staged financing is the most difficult problem for venture capitalists in venture capital. First of all, the virtual cash-flow variable is introduced so as to bring all stages of venture capital involvement （including former stage, medium-term stage, post-investment stage） into a whole frame, second, by o contingent claims approach, the optimal investment role in the common event is analyzed. Third, by dynamic programming approach, based on simulating project cash-flow in jump-diffuse process ,the optimal investment role in the paroxysmal event is analyzed. Finally, the optimal investment time in the common event and the paroxysmal event is numerically simulated and comparatively analyzed by engineer mathermatics software Matlab6.5, and the useful research conclusion is made.
出处
《运筹与管理》
CSCD
2007年第4期131-138,共8页
Operations Research and Management Science
基金
国家自然科学基金资助项目(70401007)
关键词
风险投资
分阶段投资
一般事件
突发事件
投资时机
venture capital
staged financing
the common event
the paroxysmal event
investment op-portunity
