| 基于实物期权的风险投资IPO最优退出时机决策模型 |
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| 引用本文： | 张新立,曹晓莉,李晓伟.基于实物期权的风险投资IPO最优退出时机决策模型[J].系统工程,2009(11). |
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| 作者姓名： | 张新立 曹晓莉 李晓伟 |
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| 作者单位： | 辽宁师范大学数学学院;中国海洋大学管理学院; |
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| 基金项目： | 辽宁省教育厅高等学校科研项目(2009A420); 辽宁师范大学博士科研基金资助项目(203529) |
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| 摘 要： | 利用实物期权和最优停时理论,在假设风险企业利润流服从算术布朗运动条件下,建立了风险投资IPO退出时机的一般模型,分析了风险投资立即退出和继续维持时的价值,研究了风险资本利润最大的最优变现策略。得出的结论是:当风险企业利润流大于阀值时,风险投资选择立即退出,选择立即退出的可能性将随着阀值的增大而减少,阀值决定着风险投资的退出时机,而退出时机又受到利润未来不确定性、风险调整贴现率、企业价值增长、股票交易成本、开盘出售和锁定期后的股份比例等诸多因素的影响。
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| 关 键 词： | 风险投资 实物期权 IPO 最优退出时机 |
A Decision Model of the Best IPO Exit Choice in Venture Capital Based on the Real Option Theory |
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| ZHANG Xin-li,CAO Xiao-li,LI Xiao-wei.A Decision Model of the Best IPO Exit Choice in Venture Capital Based on the Real Option Theory[J].Systems Engineering,2009(11). |
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| Authors: | ZHANG Xin-li CAO Xiao-li LI Xiao-wei |
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| Institution: | ZHANG Xin-li1,CAO Xiao-li1,LI Xiao-wei2(1.School of Mathematics,Liaoning Normal University,Dalian 116021,China,2.School of Management,Ocean University of China,Qingdao 266100,China) |
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| Abstract: | Based on the theories of the real options and the optimal stopping theory,a routine model is set up on IPO exiting time of venture capital when the profit flow of the venture capital projects follows an arithmetic Brownian motion.This paper analyzes the project value of exiting at the date of the IPO and at the expiration of the lock-up period,studies the optimal exit strategy which maximizes the venture capital profit.Finally,we draw a conclusion that the venture capitalist can choose to exit at the date o... |
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| Keywords: | Venture Capital The Real Option IPO The Best Exit Choice |
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