不确定性、最优资本结构与投资期权价值  

Uncertainty, optimal capital structure, and the option value of investment

作　　者：曹启龙[1] 周晶[1] 盛昭瀚[1] Cao Qilong;Zhou Jing;Sheng Zhaohan(School of Management and Engineering,Nanjing University,Nanjing 210093,China)

机构地区：[1]南京大学工程管理学院,江苏南京210093

出　　处：《系统工程学报》2018年第4期461-471,共11页Journal of Systems Engineering

基　　金：国家自然科学基金重大资助项目(71390521)

摘　　要：在不确定的假设条件下,研究了债务对企业最优投资时机和最优投资规模的选择问题.以负债企业投资决策的最优化为目标,运用动态规划原理得到了企业投资时机,投资规模以及投资期权价值的表达式,并通过数值仿真求得数值解.研究表明:产品价格的不确定能够影响到企业的最优资本结构选择,并且这两者又同时对企业的最优投资决策和投资期权价值产生影响.The impacts of debts on the optimal timing and amount of investment are studied in the case of uncertainty. By using stochastic control methods, the expressions for the optimal timing and amount of invest- ment and the option value of investment are obtained. Further, the optimal investment decisions are made by employing numerical simulations. The results show that the uncertainty of product prices has impacts on the optimal capital structure. In addition, both the product price and the optimal capital structure can influence the optimal investment decisions and the option value of investment.

关 键 词：不确定性 最优资本结构 实物期权 投资时机 投资规模 

分 类 号：F830.591[经济管理—金融学]