[1] Huang Chao, Da Qingli,. Application of martingale theoryin enterprise investment decision making [J]. Journal of Southeast University (English Edition), 2009, 25 (1): 138-141. [doi:10.3969/j.issn.1003-7985.2009.01.029]
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Application of martingale theoryin enterprise investment decision making(
)
鞅理论在企业投资决策中的应用
)Journal of Southeast University (English Edition)[ISSN:1003-7985/CN:32-1325/N]
- Volumn:
- 25
- Issue:
- 2009 1
- Page:
- 138-141
- Research Field:
- Economy and Management
- Publishing date:
- 2009-03-30
Info
- Title:
- Application of martingale theoryin enterprise investment decision making
- 鞅理论在企业投资决策中的应用
- Author(s):
- Huang Chao1; 2; Da Qingli2
-
1School of Economics and Management, Nanjing University of Information Science and Technology, Nanjing 210044, China
2 School of Economics and Management, Southeast University, Nanjing 210096, China
- PACS:
- F830.59
- DOI:
- 10.3969/j.issn.1003-7985.2009.01.029
- Abstract:
- From the point of view of the basic option model, enterprise investment decision making under uncertainty is studied based on the martingale method.The study shows that investment options and yields are increasing functions of time, and when the option equals the yield, the investment opportunity cost is the least, which is the appropriate time for the enterprise investment.Under the condition that the investment yield is an increasing function of time, the investment opportunity cost is also an increasing function of time after the time when the investment option equals the investment yield. So the investors should invest as soon as possible, otherwise they should stop investment forever in this project.It is impossible to acquire more investment yields by indefinitely delaying the investment.Meanwhile, the study also shows that the martingale method, used widely in financial investment theory, is a powerful tool for enterprise investment decision making.
- 从基本的期权模型出发, 利用鞅方法分析研究了不确定情况下的企业投资决策问题.研究表明投资期权和投资收益均是时间的增函数, 且投资期权曲线相切于投资收益曲线, 在切点处, 企业的投资机会成本最小, 故该时刻是企业的最佳投资时刻.在投资收益是时间的增函数情况下, 进一步分析指出若当前时刻位于投资期权等于投资收益的时刻之后, 投资机会成本也是时间的增函数, 因此, 企业要么立即投资, 要么永不投资, 而不会无限期地延迟投资以获取较大投资收益.研究同时表明广泛应用于金融投资理论中的鞅方法在企业投资决策研究中也具有强大的分析功能.
References:
[1] Wang Duan.The investment theory in modern macroeconomics and its newest development[J].Economic Research Journal, 2000, 52(12):54-77.(in Chinese)
[2] Jorgenson D W.Capital theory and investment behavior[J].American Economic Review, 1963, 53(2):247-259.
[3] Tobin J.A general equilibrium approach to monetary theory[J].Journal of Money, Credit and Banking, 1969, 1(1):15-29.
[4] Dixit A K, Pindyck R S.Investment under uncertainty [M].Princeton:Princeton University Press, 1994.
[5] Lucas Robert E Jr, Prescott Edward C.Investment under uncertainty[J].Econometrics, 1971, 39(5):659-681.
[6] Myers S C.Determinants of corporate borrowing[J].Journal of Financial Economics, 1977, 5(2):147-175.
[7] Lin Yuanlie.The application of stochastic process[M].Beijing: Tsinghua University Press, 2002.(in Chinese)
[8] Zhang Po, Zhang Jingxiao.The application of stochastic process [M].Beijing:Tsinghua University Press, 2004.(in Chinese)
[9] Jin Zhiming.The fundamentals and application of stochastic analysis[M].Beijing:National Defence Industry Press, 2004.(in Chinese)
Memo
- Memo:
-
Biography: Huang Chao(1968—), male, doctor, lecturer, cchhuang@sina.com.
Citation: Huang Chao, Da Qingli.Application of martingale theory in enterprise investment decision making[J].Journal of Southeast University(English Edition), 2009, 25(1):138-141.