一类投资时点问题的最优停止模型及其等待时间

针对收益流与一次性投入沉淀成本均不确定的一类风险项目,为使其预期总的贴现净收益最大,提出了寻找项目最优投资时点的最优停止模型.这种方法不依赖于金融市场的完备性及市场无套利.借助于高切原理,通过求解一个自由边界问题,得到模型的候选解.运用最优停止理论证明了其的确为最优解,从而显式地给出了该类风险项目的最优投资时点.进一步,显式给出了到达最优时点的平均等待时间.

Optimal Stopping Model and Waiting Time of Problems ofInvestment Timing

When cash flows and sunk cost of a class of risky projectsboth uncontrollable and stochastic, optimal investment timing for the projectsare modeled with optimal stopping. This approach dose not require assumptionof complete market or no-arbitrage. In terms of the well-known ``highcontact 'principle a candidate solution of the model is obtained by solvinga free boundary problem. The optimality of the candidate solution is proven by optimal stopping theory. So the optimal investmenttiming is given explicitly for the objective of maximizing the expectedtotal discounted net profit. Finally the mean waiting time to optimalinvestment timing is given explicitly.