【作者】 孙威；

【导师】 孟力；

【作者基本信息】 沈阳工业大学 ， 管理科学与工程， 2006， 硕士

【摘要】 投资项目的财务评价作为项目投资可行性研究的重要内容之一,是进行项目投资决策的基本依据。以净现值法为代表的传统投资决策方法的弊端主要是源于其理论方法的假设与实际情况的差异。 而对于实物期权的研究正是伴随着对以NPV法为代表的传统投资决策的DCF评价方法的否定而发展起来的。实物期权理论将投资项目中的各种投资机会与经营柔性视作期权进行量化研究,充分考虑了投资活动中各种灵活性的价值,是企业投资决策理论方法的一大飞跃。而作为实物期权与博弈论相结合的产物,期权博弈理论不但从根本上避免了传统投资决策分析方法(DCF),诸如忽略了投资项目未来不确定性、忽略信息不对称等诸多问题,而且还解决了实物期权理论中以等待来获取期权价值与实际市场条件下抢先进入市场以获取先动优势之间的矛盾。 本文的研究按照项目评估与投资决策方法的发展历程展开,运用了比较分析的方法,对国内外项目投资理论进行了全面的具体的论述,主要内容为:(1)总结了传统的投资决策方法,指出其不能适应当前不确定环境下投资评价的根本原因。(2)全面系统地分析和总结了实物期权。特别对应用最为广泛、最为被实务业所接受的数理解析模型方法,进行了有益的探讨。(3)建立了在土地净租金增长率确定或不确定、开发强度可变条件下,土地开发时机的决策模型。对参数进行了有益的讨论。(4)基于期权博弈理论,建立了房地产企业投资优化数学模型,讨论了无风险利率和资产价值波动率参数变化对该投资决策的影响,提出了企业在不确定环境下的应对策略。(5)针对电力企业特点,建立了电力企业非对称双头垄断模型,分析了在当前不确定市场条件下发电企业的投资博弈行为,通过MATLAB仿真计算,画图结果说明了投资最优化决策方案,特别是对其在各种参数变化对投资决策的影响,并对方案中的经济意义进行了分析。更多还原

【Abstract】 The financial evaluation of investment is basis of investment, which is the core of feasibility research of investment. The disadvantage of the tradition investment is difference between the fact and theory hypothesis.However the research on real option method depends on negating NPV method to process, which is representative tradition investment method. Real Options Theory regards all kinds of investment opportunities and management flexibility as option and provides a practical qualitative tool. It is a great progress of investment decision theories. The theory of option games being the combination of two successful theories, namely real options and game theory, not only avoid the disadvantage of DCF which is called tradition decision method, but also solve the contradiction between real option value and preemption.This paper spreads according to the evolution of investment decision methods by comparative method. Firstly, it summarizes the tradition investment method and point out the cause of tradition investment method which is not fit for uncertainty. Secondly, it systemically analyzes and summarizes real option method, especially research on math resolution method which is widely used. Thirdly, it establishes the land exploitation opportunity model in the case of land rent increase ratio certain or uncertain and the exploitation intensity can be charged. Discuss the parameter which affects investment strategies. Then basing on option games theory, it establish the investment decision model of real estates under symmetrical duopoly and discuss the effect of risk-free and assets volume variation impact on investment decision, and put forward corresponding strategy under uncertainty. Lastly, it bases on characteristics of power plants, establish the investment decision model of power plants under asymmetrical duopoly, and analyze the analyzed the investment games decision of power plant uncertainty .By means of software Matlab, we simulate examples and illustrate how parameter affects investment strategies, and analyze the economic meanings of the decision.更多还原