[1]黄超,达庆利.项目投资时机及投资概率分析[J].东南大学学报(自然科学版),2007,37(1):170-174.[doi:10.3969/j.issn.1001-0505.2007.01.036]
 Huang Chao,Da Qingli.Analysis of investment timing and probability of project[J].Journal of Southeast University (Natural Science Edition),2007,37(1):170-174.[doi:10.3969/j.issn.1001-0505.2007.01.036]
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项目投资时机及投资概率分析()
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《东南大学学报(自然科学版)》[ISSN:1001-0505/CN:32-1178/N]

卷:
37
期数:
2007年第1期
页码:
170-174
栏目:
经济与管理
出版日期:
2007-01-20

文章信息/Info

Title:
Analysis of investment timing and probability of project
作者:
黄超 达庆利
东南大学经济管理学院, 南京 210096
Author(s):
Huang Chao Da Qingli
School of Economics and Management, Southeast University, Nanjing 210096, China
关键词:
投资时机 投资回报 临界值 投资可能性
Keywords:
timing of investment investment return critical value probability of investment exercise martingale
分类号:
F830
DOI:
10.3969/j.issn.1001-0505.2007.01.036
摘要:
针对实物期权理论中存在的不足,运用鞅理论分析研究了市场环境下的确定性和不确定性因素对实物资产项目投资决策的影响.首先,通过鞅方法建立了反映投资时机和投资回报临界值之间关系的投资时机模型; 然后,使用测度变换评价了项目投资能够被实施的可能性.研究结果表明确定性因素对投资时机和投资回报临界值具有相反作用的影响,不确定性因素则均具有正向作用的影响,且在确定性因素取值较小情况下,不确定性对投资却具有促进作用.
Abstract:
Because of the incompletion in real option theory, this paper studies the effect of market certainty and uncertainty on project investing decision were studied by using martingale theory. First, the timing model is built up to reflect the relations between investment timing and return critical value by means of martingale. Then, the probability of investing is valued through change of measure. The results show that the certainty has reverse effect on investment timing and return critical value respectively, on the other hand, the uncertainty has positive effect on them and can accelerate investing when the value of certainty is small.

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备注/Memo

备注/Memo:
基金项目: 教育部博士学科点专项科研基金资助项目(20030286008).
作者简介: 黄超(1968—),男,博士生; 达庆利(联系人),男,教授,博士生导师,dql@public1.ptt.js.cn.
更新日期/Last Update: 2007-01-20