不确定条件下最优投资时机和最优投资规模决策

运用实物期权理论, 通过求解不变产出和可变产出条件下企业最优投资时机和最优投资规模的解析表达式, 比较研究了两种不同条件下同时选择最优投资时机和最优投资规模的决策问题. 研究表明, 不确定性增大了企业的等待价值, 企业将推迟投资, 增大投资规模; 最优投资规模仅与预期市场需求的不确定性相关, 与反映市场需求的某一个实现值的大小无关; 可变产出条件下, 企业具有更大的投资临界值和更大的投资规模. 不确定性降低了企业产能利用率, 导致了过度投资的存在; 同时, 在可变产出条件下企业的产能利用率更低.

Optimal investment timing and investment scale decision making under uncertainty

In the investment decision making,the enterprise focuses not only on investment timing choice, but on investment scale choice as well.Based on real options theory,by solving the analytical expression of optimal investment timing and optimal scale under the condition of fixed output and variable output,the paper studies comparatively the decision making in simultaneously selecting the optimal investment timing and optimal investment scale.The study shows that the uncertainty increases the expectation waiting value,thus the enterprise will postpone the investment and increase the investment scale.The paper also illustrates that the investment scale is associated with the uncertainty of expected market demand but not associated with a certain size of earned value,which reflects the market demand.Under the condition of variable output,the enterprise has greater investment critical value and larger investment scale.The uncertainty decreases the enterprise’s capacity utilization,resulting in the existence of over-investment. Meanwhile the enterprise’s capacity utilization is lower under the condition of variable output.