[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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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

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

Keywords:

enterprise investment theory;  investment option;  investment yield;  martingale

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.

References:

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[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.

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