基于期权博弈理论的企业投资策略
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摘要
传统的投资决策方法不能很好地处理风险投资项目的不确定性、不可逆性和竞争性,因而往往导致错误的决策。期权博弈论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。
期权博弈论的基本思路是在不确定性和竞争条件下,为了实现投资项目价值的最大化,全面考虑项目价值的各种影响因素,确定项目的价值函数和最佳投资时机,形成均衡投资战略。传统资本预算理论、实物期权理论和博弈论是期权博弈理论和方法的三大构件。传统资本预算理论解决未来现金流的预测及其贴现问题,是期权博弈投资战略分析的基础；实物期权理论的作用在于解决项目投资的不可逆性、不确定性和灵活性问题,识别项目中所包含的实物期权,并应用期权定价理论对其进行评价；博弈论主要是解决竞争者之间的交互作用对项目价值的影响,并寻求均衡战略。
本文创新之处在于：
1.系统总结了企业投资决策理论的演变过程,对各种投资决策方法的优缺点进行了完整的总结和归纳,给出了它们的适用范围。
2.完整总结了期权博弈理论研究成果,对其进行了适当分类。
3.博弈参与方并不局限于对称性企业,将不对称性引入模型,既考虑单因素不对称,又考虑了双因素不对称情况。
4.参与者不再局限于双寡头,而是考虑了多家企业的期权博弈情况。
5.企业面临的不确定因素并不局限于单一需求因素,将经营成本不确定性引入模型,给出了双不确定因素下的期权博弈分析方法。
6.考虑了非市场因素的不确定性,特别是突发事件对企业决策的影响,并假定突发事件服从向下的泊松跳跃过程,建立了带跳跃的几何布朗运动的双寡头期权博弈模型,把原来单纯只考虑市场需求服从几何布朗运动的情形扩展到带跳跃的几何布朗运动。
The traditional investment decision methods can not properly deal with the uncertainty, irreversibility and competition of the venture capital, and thus lead to error decisions. Based on the option pricing theory, the option-game theory overcomes the limitations and shortcomings. So, it is a more scientific modern investment decision-making method.
In order to maximize the project value under the condition of uncertainty and competition, the option-game theory fully considers all the influencing factors in order to confirm the value function, the expected first hitting time and the balanced strategy. The option-game theory consists of traditional investment decision methods, real option theory and the game theory. The traditional investment decision can deal with problems of the discount cash flows. The real option can solve the three problems of investment, find out the real option of the project and evaluate it by using the pricing theory. The game theory can figure out the balanced strategy and the influences resulting in the competition of the actors.
The main innovations in this dissertation are described as follows:
1.The dissertation summarizes fully the evolution of all kinds of the investment decision theory, their advantages and disadvantages and indicates the scope of applications.
2.The dissertation summarizes fully the framework and the research findings of the option-game theory. Besides it gives a good classification of the option-game theory.
3.The actors are not confined to the symmetrical enterprise, we introduce the asymmetrical conditions. The model in this paper considers at least one asymmetrical factor.
4.The actors are not only confined to the duopoly,and this paper also takes the much oligarchs into account.
5.The uncertainty factors are not restricted to the demand, and this paper introduces the operating cost,which is also a uncertainty factor.
6.The dissertation assumes that production(stochastic demand)follows geometric Brown motion with jumps, uncertainty features comes from sudden events,and future market in the research and development projects can be simulated. Previous duopoly option game models in which the stochastic demand follows geometric Brown motion to simulate market uncertainties are expanded. In the same time, real option approach under geometric Brown motion with jumps merges with the competition strategic interaction.
期权博弈论的基本思路是在不确定性和竞争条件下,为了实现投资项目价值的最大化,全面考虑项目价值的各种影响因素,确定项目的价值函数和最佳投资时机,形成均衡投资战略。传统资本预算理论、实物期权理论和博弈论是期权博弈理论和方法的三大构件。传统资本预算理论解决未来现金流的预测及其贴现问题,是期权博弈投资战略分析的基础；实物期权理论的作用在于解决项目投资的不可逆性、不确定性和灵活性问题,识别项目中所包含的实物期权,并应用期权定价理论对其进行评价；博弈论主要是解决竞争者之间的交互作用对项目价值的影响,并寻求均衡战略。
本文创新之处在于：
1.系统总结了企业投资决策理论的演变过程,对各种投资决策方法的优缺点进行了完整的总结和归纳,给出了它们的适用范围。
2.完整总结了期权博弈理论研究成果,对其进行了适当分类。
3.博弈参与方并不局限于对称性企业,将不对称性引入模型,既考虑单因素不对称,又考虑了双因素不对称情况。
4.参与者不再局限于双寡头,而是考虑了多家企业的期权博弈情况。
5.企业面临的不确定因素并不局限于单一需求因素,将经营成本不确定性引入模型,给出了双不确定因素下的期权博弈分析方法。
6.考虑了非市场因素的不确定性,特别是突发事件对企业决策的影响,并假定突发事件服从向下的泊松跳跃过程,建立了带跳跃的几何布朗运动的双寡头期权博弈模型,把原来单纯只考虑市场需求服从几何布朗运动的情形扩展到带跳跃的几何布朗运动。
The traditional investment decision methods can not properly deal with the uncertainty, irreversibility and competition of the venture capital, and thus lead to error decisions. Based on the option pricing theory, the option-game theory overcomes the limitations and shortcomings. So, it is a more scientific modern investment decision-making method.
In order to maximize the project value under the condition of uncertainty and competition, the option-game theory fully considers all the influencing factors in order to confirm the value function, the expected first hitting time and the balanced strategy. The option-game theory consists of traditional investment decision methods, real option theory and the game theory. The traditional investment decision can deal with problems of the discount cash flows. The real option can solve the three problems of investment, find out the real option of the project and evaluate it by using the pricing theory. The game theory can figure out the balanced strategy and the influences resulting in the competition of the actors.
The main innovations in this dissertation are described as follows:
1.The dissertation summarizes fully the evolution of all kinds of the investment decision theory, their advantages and disadvantages and indicates the scope of applications.
2.The dissertation summarizes fully the framework and the research findings of the option-game theory. Besides it gives a good classification of the option-game theory.
3.The actors are not confined to the symmetrical enterprise, we introduce the asymmetrical conditions. The model in this paper considers at least one asymmetrical factor.
4.The actors are not only confined to the duopoly,and this paper also takes the much oligarchs into account.
5.The uncertainty factors are not restricted to the demand, and this paper introduces the operating cost,which is also a uncertainty factor.
6.The dissertation assumes that production(stochastic demand)follows geometric Brown motion with jumps, uncertainty features comes from sudden events,and future market in the research and development projects can be simulated. Previous duopoly option game models in which the stochastic demand follows geometric Brown motion to simulate market uncertainties are expanded. In the same time, real option approach under geometric Brown motion with jumps merges with the competition strategic interaction.
引文
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