基于实物期权的文化产业最优投资决策  

Optimal Investment Decision on Cultural Industry in View of Real Options

作　　者：姬新龙[1] 周孝华[1] 

机构地区：[1]重庆大学经济与工商管理学院,重庆400030

出　　处：《北京理工大学学报（社会科学版）》2014年第1期58-63,共6页Journal of Beijing Institute of Technology：Social Sciences Edition

基　　金：中央高校基本科研业务费资助项目(CDJXS11021112);甘肃省教育厅科研项目(2011-05)

摘　　要：在分析文化产业实物期权投资思想的基础上,把动态规划的方法引入到最优投资决策分析中,用随机波动变量来拟合投资者的文化产业项目投资意愿,借助实物期权思想和推迟决策使等待价值达到最大的思想来建立动态最优模型,根据Bellman法则及伊藤引理得到项目价值最优时的均衡投资意愿,进而讨论在预期收益不确定时项目投资概率的可能性变化。研究发现:当期望收益较高时,项目投资概率弹性较小,决策者应选择立即投资;当期望收益较低时,投资概率弹性较大,可考虑推迟投资;对于部分政府扶持的项目,支持力度的大小将影响投资者的最终决策。通过西部某文化产业园区建设项目案例进行数值分析,结论验证了模型讨论结果。Based on the real options investment method of cultural industry, the paper introduces the dynamic programming method into the optimal investment decision analysis, and uses the random fluctuation variables to fit cultural industry project investment willingness of investors. With the help of real options thinking and the thought that decision delay can maximize the waiting value, the optimal dynamic model is set up. Then according to the Bellman rule and ITO lemma, the equilibrium investment intentions are deduced when the project value is optimal. The research further discusses the changes of project investment probability when the expected return is uncertain. The results show that： when the expected revenue is higher, the elasticity of project investment probability is small, the policymakers should choose investment immediately; when the expected revenue is low, the elasticity of investment probability is larger, the policymakers can consider postponing investment. For the part of government-funded projects, the size of the support will affect the final decision of investors. Finally, with a western cultural industry park construction project as a case for numerical analysis, the conclusion verifies the discussed results from the model.

关 键 词：文化产业 实物期权 等待价值 最优决策 

分 类 号：F830[经济管理—金融学]