“政策市”下的中国企业实物投资机理研究  

Study on Mechanism of Project Investment of Chinese Enterprise under "Policy Market"

作　　者：曾力勇[1] 陈收[1] 裘亚峥[2] 

机构地区：[1]湖南大学工商管理学院,湖南长沙410082 [2]中南大学数学与计算技术学院,湖南长沙410075

出　　处：《数学的实践与认识》2006年第9期112-118,共7页Mathematics in Practice and Theory

基　　金：湖南省教育厅资助项目湘财教指[2005]97号;湘教通[2005]117号

摘　　要：在我国市场经济发展的过程中,某些具有不确定性和投资不可逆性的产业市场容易出现投资过热问题.这时政府往往频繁出台一系列宏观调控政策以规范市场,但效果不佳.为此从研究该类市场的投资主体—企业的投资决策机理的角度出发,通过引入实物期权的理论,给出了在完善和平稳发展的市场条件下及在政府政策冲击的市场条件下,价格分别服从单纯的几何布朗运动及混合的几何布朗运动/泊松跳跃过程的企业最佳投资规则及其临界价格,并进行了比较,结果表明:“政策市”下的企业投资更富“冒进性”.In the developing process of market economy of China, some industrial markets, with uncertainty and irreversibility characteristics, become overheated investment markets. In the situation, government always carries out a series of macroscopic readjustment and control policies to standardize tile market, hut receives little effect. From studying the investment decision mechanism of the investment main body-enterprise in this kind of markets, and with the introduction of the real option theory, this paper provides optimal investment rules and its critical prices of investment enterprise in which the prices respectively obey geometric Brownian motion and mixed geometric Brownian motion/Poisson jump process under the market circumstance of peaceful steady development and under the market circumstance of government policy shock. Finally making compare of the prices, the result shows that under the ＂policy market＂ circumstance, Chinese enterprise ventures into investment.

关 键 词：政府政策 实物期权 投资规则 临界价格 

分 类 号：F275[经济管理—企业管理] F224[经济管理—国民经济]