| 具有不确定性的R&D项目退出策略 |
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| 引用本文： | 薛明皋,李楚霖. 具有不确定性的R&D项目退出策略[J]. 华中科技大学学报(自然科学版), 2002, 30(9): 54-56 |
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| 作者姓名： | 薛明皋 李楚霖 |
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| 作者单位： | 华中科技大学数学系 |
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| 基金项目： | 国家自然科学基金资助项目 (70 0 710 2 1) |
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| 摘 要： | 考虑折现率大于零、具有完成时间和部分残值不确定的R&D项目最优退出模型 .在特殊的函数形式下 ,给出解析形式的拒绝规则和临界值控制规则 ,这两个结论说明了最优投资决策在项目的开发过程中对投资率、折现率、可实现的项目价值、项目的开发率是很敏感的 .
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| 关 键 词： | 不确定性 R＆D项目 退出策略 投资决策 停时 HJB方程 剩余完成时间 研究 开发 拒绝规则 临界控制规则 |
| 文章编号： | 1671-4512(2002)09-0054-03 |
| 修稿时间： | 2001-10-17 |
Exit decision for R&D project with uncertainty |
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| Xue Minggao Li Chulin Doctoral Candidate, Dept. of Mathematics,Huazhong Univ. of Sci. , Tech.,Wuhan ,China.. Exit decision for R&D project with uncertainty[J]. JOURNAL OF HUAZHONG UNIVERSITY OF SCIENCE AND TECHNOLOGY.NATURE SCIENCE, 2002, 30(9): 54-56 |
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| Authors: | Xue Minggao Li Chulin Doctoral Candidate Dept. of Mathematics Huazhong Univ. of Sci. & Tech. Wuhan China. |
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| Affiliation: | Xue Minggao Li Chulin Doctoral Candidate, Dept. of Mathematics,Huazhong Univ. of Sci. & Tech.,Wuhan 430074,China. |
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| Abstract: | An optimal exit model has been developed for the control of an investment project that takes an uncertain length of time to develop and can still provide a partial payoff even if it is terminated without attaining its original performance objective. The rejection rule and threshold rule are derived when the discount rate is allowed to be positive. The results obtained show that the optimal investment decision is highly sensitive to the investment rate, the discount rate, the project's maximum possible value and the speed of buildup. |
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| Keywords: | investment decision stopping time HJB equation residual completion time |
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