Choosing Between Two Mutually Exclusive Investment Projects Under Uncertainty

不確定情況下對兩個戶斥投資計劃的抉擇

周治邦(Jyh-Bang Jou)

《中國財務學刊》 4卷3期 (1997/01) Pp. 67-84

https://doi.org/10.6545/JoFS.1997.4(3).4

摘要

廠商在執行兩個規模固定的戶斥計劃中之任何一者，皆須支付沉沒成本。每個投資計劃在每單位時間內，並不需支付變動成本而能生產一單位產品。兩個計劃的報酬遵循聯合幾何布朗寧運動的過程。由於淨現值法忽略不確定性及不可逆轉性交互作用，因為會低估各個計劃的籬笆比例。當某個投資計劃的報酬，由某個臨界值開始增加。另一計劃的籬芭比例也可能隨而增加，此外，本文並推導兩個計劃報酬隨機過程的聯合機率密度函數，以計算各個計劃的長期平均收益。

關鍵字

不可逆轉 ； 淨現值法則 ； 投資驅動價格

並列摘要

A firm incurs sunk capital costs to exercise between two mutually exclusive fixed-scale investment projects. Each project produces one unit output with stochastic returns per instant, but incurs no operating costs. The interaction of uncertainty with irreversibility results in a hurdle rate for each project being higher than that predicted from the net-presentvalue rule. Furthermore, the hurdle rate for one project may rise with the returns for the other project in a region beyond some threshold level. The joint probability density function for the joint process of uncertain returns is derived, and is then used to calculate the long-run average revenue for each project.

並列關鍵字

Irreversibility ； Net-Present-Value Rule ； Investment Trigger Price