【作者】 蔡庆妮；

【导师】 葛文雷；

【作者基本信息】 东华大学 ， 企业管理， 2005， 硕士

【摘要】 本文针对企业面临的日益多变的经营环境和项目投资的不确定性,结合国际国内对项目投资决策方法研究的现状,分析了利用传统投资决策方法进行项目投资决策评价时在处理风险和不确定性方面存在的缺陷,其主要表现为对项目所含期权价值的忽视,而这一价值是投资项目价值的重要组成部分。文章同时指出,相对于传统方法而言,投资决策期权方法在对项目的灵活性和可选择权的价值进行量化评价时具有明显的优势。作者强调了项目所含期权价值对于投资者决策的重要性,把金融期权和投资决策实物期权联系起来,比较了传统投资决策方法和投资决策期权方法在项目价值计算上的差异,在提出投资决策新定价模型主体思路的基础上,对投资决策期权方法的实用条件和应用步骤进行了总结。在对投资决策期权方法进行理论总结后,文章借助一家企业投资案例的计算分析,明确了投资主体在实际投资操作中应该如何借助于二项树模型、Black—Scholes模型等期权定价模型进行投资项目的价值计算及辅以何种投资决策。除了对单一企业的基本投资决策期权模型进行分析外,文章还引入了目前国际上较新的期权博弈理论,提出处于一定竞争态势下的企业在面对投资决策时,由于竞争的影响吞噬了项目推迟期权的价值,因而不能一概地采用最基本的单一企业投资决策期权方法,此时抢摊博弈使投资时点的判断发生了变化,企业的最优决策也应随之变化。文章后半部分的重要内容探讨了当前投资决策期权方法在企业中尚未普遍使用的根源,针对这种情况,作者根据企业所处竞争态势和项目资本阶段性投入的特点,对各种企业面临的项目投资决策进行了三次分类,详尽地阐述了各次分类的依据,并在此分类的基础上构建了投决策综合框架,进一步对框架各节点上的项目投资阶段所采用的决策模型提出了选择的建议。这一综合框架是对投资决策期权评价体系的初步探索,试图从投资主体和客体特征的角度入手,先理清投资决策过程分析的思路,找到适合各企业具体情况的切入点,再选择恰当的决策模型进行项目价值的定量分析。这一综合框架突破了已有投资决策期权模型复杂多样化企业更多还原

【Abstract】 This text, aims for the changeable management environment and uncertainty of project investment which enterprises face and combines the international and domestic current study about the investment decision method of the project. It has analyzed the defects of the traditional method of investment decision existed in risk and uncertainty appraising. These defects assume ignoring the value of options in project but the value is important component. At the same time compared with the traditional methods, the author points out: option method of investment decision has obvious advantage on evaluating the flexibility and option in project. It has been emphasized that the option value is important to investor’s decision. And then, the paper accounts the relationship between financial option and investment real option and shows the differentiation on calculating the project value from the traditional method of investment decision. On the basis of the new pricing model of investment decision, the author summarizes the practical conditions and using steps of the option method. After summarizing theoretically, the article uses a case of a enterprise and explains how to use Black-Scholes model and BOPM model to aid investment decision. Not only analyzing the basic option model of investment decision for single enterprise, the article introduces the popular game theoretic option and points out competition will erode the option value, so when the investors make decision, they can’t adopt the general basic option method for single enterprise’s investment decision. On this case, the preemption changes the investment start point and the optimal decision should adapt according this. Important content of the latter half of the article has discussion the original reason why option method does not generally been accepted by enterprises at present. To this point, the authorclassifies the investment projects three times according to the characteristics of competition situation and capital investment in different phased. The contribution of this paper is to build an investment framework and propose the suitable evaluation models for every part of the framework. The framework attempts to guide the investors to a clear way and bring them great convenience when face complicated option problems in project investment. Because of this, it breaks through the situation that option models are distracted and it will push the option method widely used in reality. At last, considering that some important parameters will have great influence on project evaluation, the paper explained how to predict these important parameters in order to improve the capability to control the risk of decision-making process.更多还原