不确定下项目投资时点的优化模型研究

在项目收入流不确定的假设下，研究如何寻找最优投资时点问题，建立了问题的最优停止模型，利用高切原理求解一个自由边界问题，得到候选解，运用最优停止理论验证了其的确为最优解，显式地给出最优投资时点并进行了比较静态分析，研究结果修正了传统投资准则，特别包括了传统的Jorgenson投资准则作为其特殊情形，论文的方法不需要完全金融市场和市场无套利的假定。

Optimal model of project investment timing under uncertainty

Under the assumption that project's cash flow is uncertain and investment cost is fixed, this paper studies the problem of optimal investment timing. First, an optimal stopping model for investment timing is established. Then a candidate solution is obtained by using high contact principle to solve a free bounded problem, and it is the optimal solution which is verified by optimal stopping theory. Then the optimal investment timing is given explicitly. We give comparative static analysis to result of the model. The result revises the traditional investment criterions. Our model and result include traditional Jorgenson investment criterion and regard it as a special situation under a certain circumstance. Our method has no requirements of assumptions that the financial market is complete or the market is no-arbitrage.