不确定和竞争条件下企业投资决策的期权博弈分析
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摘要
期权博弈理论是当今管理科学领域的研究热点之一。市场经济下的投资行为往往具有不确定性,不可逆性和竞争性的特征,传统的投资决策理论无法解释不确定条件下的投资行为,期权博弈方法的出现为研究企业投资决策提供了新视角,它将投资项目所面临的不确定性、不可逆性与竞争性纳入到同一分析框架下来进行项目评价与决策,克服了传统投资决策方法的局限与不足,是一种更科学的现代投资决策方法。本文从市场条件,信息结构,资本结构等多角度扩展现有的期权博弈模型,并对模型进行了数值模拟和分析,试图更加真实地刻划企业在不确定条件下的投资行为,同时给企业投资决策提供更加科学的理论指导。
全文内容共为九章。第一章为绪论,介绍了研究背景、研究意义,概括了本文结构、主要内容。第二章简要回顾了投资理论的发展历史,指出了基于折现现金流方法的传统投资决策方法存在的局限性,全面回顾了实物期权理论的发展和期权博弈的研究现状。第三章分析了独家垄断和寡头垄断条件下价格管制对投资行为的影响。第四章研究对称双寡头的条件下分析企业的进入和退出策略。第五章研究了经营成本不对称企业面对二重市场不确定因素和可能的市场突变情况下的投资决策问题。第六章推导了不完全信息下的两家企业和多家企业的最优抢先投资临界值与价值函数的表达式。第七章在信息不对称期权博弈模型中,加入审核和惩罚要素,研究审核策略的确定,以及惩罚对委托人、代理人的影响是本章的重点。第八章研究在债务融资约束的情况下的企业投资战略,包括投资临界值,债息,杠杆率和内生违约点的确定。第九章给出本文工作总结并展望了进一步的研究方向。
本论文的创新之处体现在以下几个方面:
第一,建立了竞争条件下企业进入退出模型,给出了求解企业进入退出临界点的方程组并结合实例求出了数值解。
第二,在双头期权博弈的模型中,同时考虑经营成本的不对称性,项目产品价格和销量的双重不确定性以及可能发生的市场突变等因素,给出了企业投资临界值的表达式,并对不确定性等参数对投资临界值和博弈均衡的影响进行了分析。
第三,在前人基于委托代理理论的期权博弈模型中加入审核和惩罚要素,揭示了随着惩罚力度的增大,委托人对代理人的约束手段从单纯激励变为激励加审核,最后转为单纯审核的渐变规律。
第四,当企业的投资成本的一部分必须来自于债务融资时,企业的投资战略会发生改变。研究表明,当企业的投资受融资约束影响的情况下,企业投资的负债水平、债息以及杠杆率和信贷息差都较融资不受限情况高;在双头的情况下,受融资约束企业的投资临界值较融资不受限的情况大,融资约束缓解了竞争的激烈程度。
Option game is one of the hot issues in the filed of management science research. The investment under the market economy has the characteristics of uncertainty, irreversibility and competition. Traditional investment theory is not adequate to interpret the investment decision-making under uncertainty of investment. The emergence of option-game theory provides a new perspective to research the investment decision-making, which can bring the uncertainty, irreversibility and competition to the same analytical framework to carry out project evaluation and decision-making and over comes the traditional limitations of the method. So, it is a more scientific modern investment decision-making method. In this dissertation, traditional option-game model is extended by in terms of market condition, information structure, capital structure to set up a series option game with more practical significance in the economic realities , numerical simulation and analysis on these models provide are done ,try to describe more realistically of the investment behavior of enterprises under the conditions of uncertainty.and give more scientific theoretical guidance for the investment decision. All the contents of the dissertation are discussed in nine chapters. Chapter 1 introduces the background and significance of the research. .Chapter 2 briefly reviews the history of development of investment theory, pointing out the limitations of traditional methods of investment decision-making based on Discounted Cash Flow method, and provided a thorough review of the development of real option theory and game options research. Chapter 3 studies the investment behavior in monopoly and oligopoly under price ceiling regulation. Chapter 4 addresses the entry and exit in symmetry duopoly. Chapter 5 analyses the investment decision of asymmetry operating cost enterprise faced two stochastic factors and shock. Chapter 6 proposes the analytical expressions of the trigger and the value with incomplete information. Chapter 7 studies the information asymmetry in the previous game model options and analyses the effect of penalty on the optimal audit strategy. The influence of punishment of the client and an agent is the focus of this chapter. Chapter 8 covers the investment strategy with debt financing constraint, including the trigger, bond, leverage, default point. Chapter 9 summarizes the whole text and views the prospect of the research.
The main innovations in this dissertation are described as follows:
1. The dissertation set up the model of entry and exit under the condition of competition, gives the equations set the numerical solution of entry and exit trigger.
2.The uncertainty of price, sales volume, shock in market ,asymmetry operating cost are all taken into account in the duopoly option-game framework, the expressions of the trigger are also given, the effect of uncertainty on trigger and game equilibrium is also covered .
3. Incorporating the audit and penalty into the option-game model based on Principal-Agent theory, reveals with increased the penalty, the means of restraint change from pure incentives to incentives and audit, and final turn to pure audit.
4. When the project must be financed in debt partly, corporate investment strategy will change. Research shows that when the entrepreneur is suffer from debt financing constraint, the debt, bond and leverage are higher, in duopoly, the investment trigger is larger. Financing constraints have eased the competition.
全文内容共为九章。第一章为绪论,介绍了研究背景、研究意义,概括了本文结构、主要内容。第二章简要回顾了投资理论的发展历史,指出了基于折现现金流方法的传统投资决策方法存在的局限性,全面回顾了实物期权理论的发展和期权博弈的研究现状。第三章分析了独家垄断和寡头垄断条件下价格管制对投资行为的影响。第四章研究对称双寡头的条件下分析企业的进入和退出策略。第五章研究了经营成本不对称企业面对二重市场不确定因素和可能的市场突变情况下的投资决策问题。第六章推导了不完全信息下的两家企业和多家企业的最优抢先投资临界值与价值函数的表达式。第七章在信息不对称期权博弈模型中,加入审核和惩罚要素,研究审核策略的确定,以及惩罚对委托人、代理人的影响是本章的重点。第八章研究在债务融资约束的情况下的企业投资战略,包括投资临界值,债息,杠杆率和内生违约点的确定。第九章给出本文工作总结并展望了进一步的研究方向。
本论文的创新之处体现在以下几个方面:
第一,建立了竞争条件下企业进入退出模型,给出了求解企业进入退出临界点的方程组并结合实例求出了数值解。
第二,在双头期权博弈的模型中,同时考虑经营成本的不对称性,项目产品价格和销量的双重不确定性以及可能发生的市场突变等因素,给出了企业投资临界值的表达式,并对不确定性等参数对投资临界值和博弈均衡的影响进行了分析。
第三,在前人基于委托代理理论的期权博弈模型中加入审核和惩罚要素,揭示了随着惩罚力度的增大,委托人对代理人的约束手段从单纯激励变为激励加审核,最后转为单纯审核的渐变规律。
第四,当企业的投资成本的一部分必须来自于债务融资时,企业的投资战略会发生改变。研究表明,当企业的投资受融资约束影响的情况下,企业投资的负债水平、债息以及杠杆率和信贷息差都较融资不受限情况高;在双头的情况下,受融资约束企业的投资临界值较融资不受限的情况大,融资约束缓解了竞争的激烈程度。
Option game is one of the hot issues in the filed of management science research. The investment under the market economy has the characteristics of uncertainty, irreversibility and competition. Traditional investment theory is not adequate to interpret the investment decision-making under uncertainty of investment. The emergence of option-game theory provides a new perspective to research the investment decision-making, which can bring the uncertainty, irreversibility and competition to the same analytical framework to carry out project evaluation and decision-making and over comes the traditional limitations of the method. So, it is a more scientific modern investment decision-making method. In this dissertation, traditional option-game model is extended by in terms of market condition, information structure, capital structure to set up a series option game with more practical significance in the economic realities , numerical simulation and analysis on these models provide are done ,try to describe more realistically of the investment behavior of enterprises under the conditions of uncertainty.and give more scientific theoretical guidance for the investment decision. All the contents of the dissertation are discussed in nine chapters. Chapter 1 introduces the background and significance of the research. .Chapter 2 briefly reviews the history of development of investment theory, pointing out the limitations of traditional methods of investment decision-making based on Discounted Cash Flow method, and provided a thorough review of the development of real option theory and game options research. Chapter 3 studies the investment behavior in monopoly and oligopoly under price ceiling regulation. Chapter 4 addresses the entry and exit in symmetry duopoly. Chapter 5 analyses the investment decision of asymmetry operating cost enterprise faced two stochastic factors and shock. Chapter 6 proposes the analytical expressions of the trigger and the value with incomplete information. Chapter 7 studies the information asymmetry in the previous game model options and analyses the effect of penalty on the optimal audit strategy. The influence of punishment of the client and an agent is the focus of this chapter. Chapter 8 covers the investment strategy with debt financing constraint, including the trigger, bond, leverage, default point. Chapter 9 summarizes the whole text and views the prospect of the research.
The main innovations in this dissertation are described as follows:
1. The dissertation set up the model of entry and exit under the condition of competition, gives the equations set the numerical solution of entry and exit trigger.
2.The uncertainty of price, sales volume, shock in market ,asymmetry operating cost are all taken into account in the duopoly option-game framework, the expressions of the trigger are also given, the effect of uncertainty on trigger and game equilibrium is also covered .
3. Incorporating the audit and penalty into the option-game model based on Principal-Agent theory, reveals with increased the penalty, the means of restraint change from pure incentives to incentives and audit, and final turn to pure audit.
4. When the project must be financed in debt partly, corporate investment strategy will change. Research shows that when the entrepreneur is suffer from debt financing constraint, the debt, bond and leverage are higher, in duopoly, the investment trigger is larger. Financing constraints have eased the competition.
引文
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