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題名：實質選擇權與對數效用之進入與退出投資策略
書刊名：東吳經濟商學學報
作者：林達榮 引用關係／柯娟娟
作者(外文)：Lin, Ty-rone／Ko, Chuan-chuan
出版日期：2004
卷期：46
頁次：頁31-57
主題關鍵詞：實質選擇權；進入退出；投資策略；對數效用；淨現值；Real options；Entry and exit；Investment strategy；Logarithmic utility；NPV
原始連結：連回原系統網址new window
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  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
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  • 共同引用共同引用:4
  • 點閱點閱:32
本文旨在考量決策者投資行為深受主觀的貨幣預期效用所影響，其投資效用滿足對數型效用函數。當市場規模處於高度不確定性下，專案價值依循幾何布朗運動，投資策略非僅限於預期貨幣價值，而考量決策者之預期貨幣效用高低為依據，應用實質選擇權法對投資策略進行分析，試圖探討最適進入及退出市場門檻值，並比較此等決策門檻值與風險修正後淨現值法所產生決策門權值之差異。經由數值分析結果得知，若決策者為風險規避者，其預期貨幣效用滿足對數型效用函數時，實質選擇權法之進入市場策略衡量較淨現值法較為保守，退出策略時則更為彈性。
This paper aims to assess the investment decision which is impacted by expected utility on money subjectively. The investment utility function of decision maker is assumed to follow the logarithmic utility form, and the strategic value is evaluated by not only the expected value of money but also the expected value of utility on money. Thereafter, applying real options to price the threshold for entry-exit investment strategy and the potential investment value will be calculated while the proposed model applies logarithmic utility and net present value method with risk adjusted, separately. As the results from numerical analysis know, the real option approach is more conservative than from net present value method in entering market, and is more flexible than from net present value method in exiting market.
期刊論文
1.Trigeorgis, L.、Mason, S. P.(1987)。Valuing Managerial Flexibility。Midland Corporate Finance Journal，5(1)，14-21。  new window
2.Merton, Robert C.(1973)。Theory of Rational Option Pricing。Bell Journal of Economics and Management Science，4(1)，141-183。  new window
3.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy，81(3)，637-654。  new window
4.Pratt, John W.(1964)。Risk Aversion in the Small and in the Large。Econometrica，32(1/2)，122-136。  new window
5.Myers, Stewart C.(1977)。Determinants of Corporate Borrowing。Journal of Financial Economics，5(2)，147-175。  new window
6.林達榮、石東立(20021100)。不確定營收下大陸壽險市場進入之決策分析--競爭者存在下實質選擇權法之應用。風險管理學報，4(2)，61-86。new window  延伸查詢new window
7.Sharpe, William F.(1964)。Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk。The Journal of Finance，19(3)，425-442。  new window
8.Cox, John C.、Ross, Stephen A.(1976)。The Valuation of Options for Alternative Stochastic Processes。Journal of Financial Economics，3(1/2)，145-166。  new window
9.Cox, John C.、Ross, Stephen A.、Rubinstein, Mark(1979)。Option Pricing: A Simplified Approach。Journal of Financial Economics，7(3)，229-263。  new window
10.Itô, K.(1951)。On Stochastic Differential Equations。Memoirs of the American Mathematical Society，4，1-51。  new window
圖書
1.Copeland, T.、Antikarov, V.(2001)。Real Options - A Practitioner’s Guide。New York：Texere LLC。  new window
2.Dixit, Avinash K.、Pindyck, Robert S.(1994)。Investment Under Uncertainty。Princeton University Press。  new window
3.黃奇輔、Litzenberger, Robert H.(1988)。Foundations for Financial Economics。North-Holland。  new window
其他
1.Boer, F. P.(1999)。The Valuation of Technology。  new window
2.Boer, F. P.(2002)。The Real Options Solution-Finding Total Value in a High-Risk World，New York：John Wiley & Sons, Inc.。  new window
3.Brach, M. A.(2003)。Real Options in Practice，New Jersey：John Wiley & Sons, Inc。  new window
4.Cox, J. C. and C. F. Huang(1989)。Optimum Consumption and Portfolio Policies When Asset Price Follow a Diffusion Process。  new window
5.Lin, C. T., T. T. Lin, and L. C. Yeh(2003)。A Entry-Exit Model for Online Securities Business。  new window
6.Lin, C. T., T. T. Lin, and L. C. Yeh(2003)。A Real Options Model for Establishing an Electronic Securities Trading System under Uncertain Rate of Internet Trading。  new window
7.Lin, T. T.(2002)。Optimizing Investment Decisions involving Construction Time。  new window
8.Merton, R. C.(1990)。Continuous-Time Finance，Massachusetts：Blackwell Pub. Inc。  new window
9.Mun, J.(2002)。Real Options Analysis-Tools and Techniques for Valuing Strategic Investments and Decisions，New Jersey：John Wiley & Sons, Inc。  new window
10.Rogers, J.(2002)。Strategy, Value, and Risk-the Real Options Approach，New York：Palgrave。  new window
11.Trigeorgis, L.(1995)。Real Options in Capital Investment，Westport：Praeger Press。  new window
圖書論文
1.Arrow, Kenneth J.(1971)。Alternative Approaches to the Theory of Choice in Risk-Taking Situations。Essays in the Theory of Risk-Bearing。Chicago：Markham Publishing Company。  new window
 
 
 
 
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