基于期权价值模型的企业应对气候变化最优投资决策  

Firm’s Optimal Investment Decision in Responding to Climate Change Based on Option Value Model

作　　者：汪阳洁[1] 王嘉权 李杨扬[1] WANG Yangjie;WANG Jiaquan;LI Yangyang(School of Business,Central South University,Changsha 410083,China)

机构地区：[1]中南大学商学院,湖南长沙410083

出　　处：《运筹与管理》2023年第10期136-143,共8页Operations Research and Management Science

摘　　要：全球气候变化引起了世界各地的广泛关注,国际社会呼吁严格控制与能源相关的二氧化碳排放,企业实施节能减排投资是减缓气候变化的重要策略。基于期权价值理论,本文提出了一个企业依据产出水平应对气候变化不确定性的节能减排投资决策规则。首先给出了一个传统的企业投资决策规则;然后在期权价值理论基础上,构建了一个不确定性产出模型,并分别基于不同的减排成本函数形式,推导出新的企业最优减排项目投资规则;最后进行数值模拟,分析了气候变化不确定性和社会贴现率等因素对企业最优投资时点的影响及企业投资期权价值的动态变化路径,验证了该投资规则的适用性。本研究设计的企业最优适应性投资规则考虑了气候变化的不确定性和贴现率,可以为企业应对气候变化的投资决策提供理论指导,具有重要的实践意义。Global climate change has sparked widespread concern worldwide,with the international community calling for strict control of energy-related carbon dioxide emissions to mitigate climate change.As the key implementers of policy objectives,resolute investments in energy-saving and emission reduction technologies not only directly impact the Chinese government’s ability to achieve emission reduction targets but also determine the implementation of the fundamental national policies of resource conservation and environmental protection.Various uncertainties related to climate change may further increase the risks faced by firms in their decisions regarding energy-saving and emission reduction investments.While scholars have demonstrated the impact of various uncertainty factors on firm investment decisions,the research on the uncertainty stemming from climate change and its influence on firm decisions regarding energy-saving and emission reduction investments remains limited.There is a lack of a comprehensive understanding of the costs and uncertainties faced by micro-level entities,such as firms,in their efforts to mitigate climate change.Particularly,among the various uncertainty factors,the size of the discount rate can directly affect decision-makers’estimates of the relationship between future returns and current costs and,consequently,determine their optimal investment decisions.Currently,there is scarce research that analyzes decision-makers’responses to climate change uncertainty by introducing discount rates in option value models.Therefore,an in-depth exploration of the mechanisms behind firm decisions on energy-saving and emission reduction technology investments,in conjunction with option value models,holds theoretical and practical significance for further improving China’s energy-saving and emission reduction policies,developing a low-carbon economy,mitigating climate change,and accelerating the construction of an ecological civilization.Based on the option value theory,this paper proposes energy

关 键 词：不确定性 贴现率 节能减排 企业投资决策 期权价值 气候变化 

分 类 号：C93-03[经济管理—管理学]