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从基本的期权模型出发,利用鞅方法分析研究了不确定情况下的企业投资决策问题.研究表明投资期权和投资收益均是时间的增函数,且投资期权曲线相切于投资收益曲线,在切点处,企业的投资机会成本最小,故该时刻是企业的最佳投资时刻.在投资收益是时间的增函数情况下,进一步分析指出若当前时刻位于投资期权等于投资收益的时刻之后,投资机会成本也是时间的增函数,因此,企业要么立即投资,要么永不投资,而不会无限期地延迟投资以获取较大投资收益.研究同时表明广泛应用于金融投资理论中的鞅方法在企业投资决策研究中也具有强大的分析功能.
Starting from the basic option model, we use the martingale method to analyze the firm’s investment decision-making under uncertain conditions. The research shows that investment options and investment returns are increasing functions of time, and the investment option curve is tangent to the investment return curve. At the point where the investment cost of the firm is the smallest, it is the moment of optimal investment for the firm.When the investment return is an increasing function of time, further analysis points out that if the current moment lies in the moment when the investment option equals the investment return, the investment opportunity The cost is also an increasing function of time, therefore, the enterprise either invests immediately or never invests, but will not delay the investment indefinitely to obtain the big investment income.The research also indicated that the widely used martingale method in the financial investment theory invests in the enterprise Decision research also has a strong analytical capabilities.