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Analysis On Business Investment Under Uncertainty And Competition Based On Real Option Games

Posted on:2010-11-08Degree:DoctorType:Dissertation
Country:ChinaCandidate:D Z HeFull Text:PDF
GTID:1119360275474139Subject:Technical Economics and Management
Abstract/Summary:PDF Full Text Request
Option game is one of the hot issues in the filed of management science research. The investment under the market economy has the characteristics of uncertainty, irreversibility and competition. Traditional investment theory is not adequate to interpret the investment decision-making under uncertainty of investment. The emergence of option-game theory provides a new perspective to research the investment decision-making, which can bring the uncertainty, irreversibility and competition to the same analytical framework to carry out project evaluation and decision-making and over comes the traditional limitations of the method. So, it is a more scientific modern investment decision-making method. In this dissertation, traditional option-game model is extended by in terms of market condition, information structure, capital structure to set up a series option game with more practical significance in the economic realities , numerical simulation and analysis on these models provide are done ,try to describe more realistically of the investment behavior of enterprises under the conditions of uncertainty.and give more scientific theoretical guidance for the investment decision. All the contents of the dissertation are discussed in nine chapters. Chapter 1 introduces the background and significance of the research. .Chapter 2 briefly reviews the history of development of investment theory, pointing out the limitations of traditional methods of investment decision-making based on Discounted Cash Flow method, and provided a thorough review of the development of real option theory and game options research. Chapter 3 studies the investment behavior in monopoly and oligopoly under price ceiling regulation. Chapter 4 addresses the entry and exit in symmetry duopoly. Chapter 5 analyses the investment decision of asymmetry operating cost enterprise faced two stochastic factors and shock. Chapter 6 proposes the analytical expressions of the trigger and the value with incomplete information. Chapter 7 studies the information asymmetry in the previous game model options and analyses the effect of penalty on the optimal audit strategy. The influence of punishment of the client and an agent is the focus of this chapter. Chapter 8 covers the investment strategy with debt financing constraint, including the trigger, bond, leverage, default point. Chapter 9 summarizes the whole text and views the prospect of the research.The main innovations in this dissertation are described as follows:1. The dissertation set up the model of entry and exit under the condition of competition, gives the equations set the numerical solution of entry and exit trigger.2.The uncertainty of price, sales volume, shock in market ,asymmetry operating cost are all taken into account in the duopoly option-game framework, the expressions of the trigger are also given, the effect of uncertainty on trigger and game equilibrium is also covered .3. Incorporating the audit and penalty into the option-game model based on Principal-Agent theory, reveals with increased the penalty, the means of restraint change from pure incentives to incentives and audit, and final turn to pure audit.4. When the project must be financed in debt partly, corporate investment strategy will change. Research shows that when the entrepreneur is suffer from debt financing constraint, the debt, bond and leverage are higher, in duopoly, the investment trigger is larger. Financing constraints have eased the competition.
Keywords/Search Tags:Investment decision-making, option game, dual uncertainty, asymmetric, financing constraints
PDF Full Text Request
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