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在折现率大于零的情况下,具有完成时间和残值不确定性的R&D项目的投资策略
引用本文:薛明皋,龚朴.在折现率大于零的情况下,具有完成时间和残值不确定性的R&D项目的投资策略[J].数学的实践与认识,2005,35(1):112-120.
作者姓名:薛明皋  龚朴
作者单位:华中科技大学管理学院财务金融系 湖北武汉430074 (薛明皋),华中科技大学管理学院财务金融系 湖北武汉430074(龚朴)
基金项目: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)
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 .

关 键 词:最优停时  投资  临界值  残值  建设期
修稿时间:2001年10月23

Investment Decision for R&D Project With Uncertain Completion Time and Salvage Value Under Positive Discount rate
XUE Ming-gao,GONG Pu.Investment Decision for R&D Project With Uncertain Completion Time and Salvage Value Under Positive Discount rate[J].Mathematics in Practice and Theory,2005,35(1):112-120.
Authors:XUE Ming-gao  GONG Pu
Abstract: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.
Keywords:optimal stopping time  investment  trigger value  salvage value  time to buid  
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