基于实物期权的企业进入退出决策研究

发布时间：2018-06-08 10:37

  本文选题：实物期权模型 + 动态规划　； 参考：《哈尔滨工业大学》2016年硕士论文

【摘要】：企业,作为社会经济活动的基本载体,为了更好迎合当今经济的复杂多变,需要不断做出各种进入、退出决策,决策的效率和准确度对企业而言至关重要。而企业进入退出表现在宏观层面更是一个产业,乃至一国经济的晴雨表,政府如能更好掌握企业进入退出决策机制,则有助于各项产业政策的落实。于是,研究企业进入退出决策既是企业经营的必然要求,又是国家制定政策的重要参照。本文首先对企业进入退出行为加以界定,然后通过将传统净现值理论与实物期权模型进行比较,结合企业进入退出决策的实物期权特性,明确了企业是否进入退出与何时进入退出的决策标准。接着,本文确定采用连续时间模型,将不确定性来源细分为价格与需求不确定两方面,并引入净利润现金比率、风险容忍度。在具体建模中,将价格不确定下产销量分为外生、内生两种情形。其中,产销量内生部分运用库诺特模型引入竞争者的影响;而需求不确定下运用萨洛普模型引入产品差异、竞争者的影响,并考虑结合泊松跳跃时会对决策临界值带来的影响。然后,在各模型基础上扩展,引入梯形模糊数度量包含风险容忍度的决策区间。最后,本文运用数值分析法对各模型分别进行求解,并运用国泰安数据库对沪深股市各行业企业净利润现金比率进行整理计算,基于制造业数据构建梯形模糊数,然后设定风险容忍度得到各模型的进入退出决策区间。接着,运用单因素与双因素灵敏度分析得出了各因素作用方向与强度,主要得出结论如下:1.对于垄断型期权,较高产销量会使潜在进入企业早进入,在位企业晚退出;对于分享型期权,较多的竞争者会使潜在进入企业晚进入,在位企业早退出;2.企业与竞争者之间竞争优势对企业进入决策有重要影响,企业相对于其它竞争者竞争优势显著会倾向于早进入。3.产品差异越低,日常经营成本越高,竞争者数目越多,潜在进入企业越晚进入,在位企业越早退出,不过,在竞争者数目一定时,随着产品差异增加,日常经营成本对企业进入退出临界值的影响下降。最后,基于数值分析结果与三维图,本文针对企业与政府分别提出了相应对策建议。
[Abstract]:Enterprises, as the basic carrier of social economic activities, need to make various kinds of entry and exit decisions, and the efficiency and accuracy of decision-making are very important for enterprises in order to better meet the complex and changeable economy. The entry and exit of enterprises in the macro level is a barometer of an industry, and even a country's economy. If the government can better grasp the decision-making mechanism of enterprise entry and exit, it will be helpful to the implementation of various industrial policies. Therefore, to study the decision of entry and exit is not only an inevitable requirement of enterprise management, but also an important reference for the government to formulate policies. This paper first defines the behavior of entry and exit of enterprises, then compares the traditional net present value theory with the real option model and combines the characteristics of real options in the decision of entry and exit of enterprises. The decision criteria of whether or not to enter and when to exit are made clear. Then, this paper uses the continuous time model, classifies the source of uncertainty into two aspects: price and demand uncertainty, and introduces net profit cash ratio and risk tolerance. In the concrete modeling, the production and sales under the uncertainty of price are divided into two situations: exogenous and endogenous. Among them, the endogenous part of production and sales uses the Cournot model to introduce the influence of competitors, while under the uncertainty of demand, the Salope model is used to introduce the product difference, the influence of competitors, and the influence of Poisson's jump on the decision critical value. Then, on the basis of each model, the trapezoidal fuzzy number metric is introduced, which includes the decision interval of risk tolerance. Finally, this paper uses numerical analysis method to solve each model, and calculates the net profit cash ratio of enterprises in Shanghai and Shenzhen stock market by using Cathay Pacific database, and constructs trapezoidal fuzzy number based on manufacturing data. Then the risk tolerance is set to get the exit decision interval of each model. Then, by using single factor and double factor sensitivity analysis, the direction and strength of each factor are obtained, and the main conclusions are as follows: 1: 1. For monopoly option, higher production and sales volume will make the potential enter the enterprise early, and the incumbent enterprise will exit late; for the share option, more competitors will make the potential enter the enterprise late, and the incumbent enterprise will withdraw early. The competitive advantage between the enterprise and its competitors has an important influence on the decision of entry. Compared with other competitors, the competitive advantage of the enterprise will obviously tend to enter early. 3. The lower the product difference, the higher the daily operating cost, the more competitors, the later the potential entry, the earlier the incumbent enterprise exits. However, when the number of competitors is fixed, as the product difference increases, The influence of daily operating cost on the critical value of entry and exit of enterprises is reduced. Finally, based on the results of numerical analysis and three-dimensional graph, this paper puts forward corresponding countermeasures and suggestions for enterprises and government respectively.
【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F272.2
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本文编号：1995507