非对称信息条件下实物期权最优投资问题研究  

Research of real options optimization investment under asymmetry information

作　　者：黄小原[1] 庄新田[1] 

机构地区：[1]东北大学工商管理学院,沈阳110004

出　　处：《管理科学学报》2003年第6期28-33,共6页Journal of Management Sciences in China

基　　金：辽宁省自然科学基金资助项目(9910200208).

摘　　要：描述了实物期权投资者和经营者价值函数,分析了不同信息条件下实物期权的最优投资决策.在非对称信息条件下,实物期权经营者对于项目价值信息隐匿,这是一个具有逆向选择的委托代理问题.设计了以实物期权投资者利润数学期望最大为目标函数,以投资和数量折扣作为状态方程的最优控制问题.应用极大值原理推导了实物期权最优投资和数量折扣的求解方案.最后,进行了实物期权最优投资的仿真实验,验证了实物期权在项目投资问题上的分析结果.The real options are enlargement of the financial options. Its essence is object item investment and policy decision of management. In this paper real options investor and value function of operator are described. The optimization investment policy decision of the real options has been analyzed under different information conditions. The operator of real options hides the item value information under asymmetry information. It is a principal_agent problem having the converse selection. This paper designed that objective function is taken at the biggest mathematical expectation value of investment profit. The optimization control of the state equation is taken at the investment and quantity discount. Using maximal principle the found solution scheme of the real options optimization investment and the quantity discount has been derived. Finally, the emulation experiment in the real options optimization investment was made. The analysis result of real options in the item investment problem is verified.

关 键 词：实物期权 非对称信息 投资 数量折扣 委托代理 逆向选择 极大值原理 

分 类 号：F830.9[经济管理—金融学]