本文選題：實(shí)物期權(quán)模型 + 動(dòng)態(tài)規(guī)劃��； 參考：《哈爾濱工業(yè)大學(xué)》2016年碩士論文

【摘要】：企業(yè),作為社會(huì)經(jīng)濟(jì)活動(dòng)的基本載體,為了更好迎合當(dāng)今經(jīng)濟(jì)的復(fù)雜多變,需要不斷做出各種進(jìn)入、退出決策,決策的效率和準(zhǔn)確度對(duì)企業(yè)而言至關(guān)重要。而企業(yè)進(jìn)入退出表現(xiàn)在宏觀層面更是一個(gè)產(chǎn)業(yè),乃至一國(guó)經(jīng)濟(jì)的晴雨表,政府如能更好掌握企業(yè)進(jìn)入退出決策機(jī)制,則有助于各項(xiàng)產(chǎn)業(yè)政策的落實(shí)。于是,研究企業(yè)進(jìn)入退出決策既是企業(yè)經(jīng)營(yíng)的必然要求,又是國(guó)家制定政策的重要參照。本文首先對(duì)企業(yè)進(jìn)入退出行為加以界定,然后通過(guò)將傳統(tǒng)凈現(xiàn)值理論與實(shí)物期權(quán)模型進(jìn)行比較,結(jié)合企業(yè)進(jìn)入退出決策的實(shí)物期權(quán)特性,明確了企業(yè)是否進(jìn)入退出與何時(shí)進(jìn)入退出的決策標(biāo)準(zhǔn)。接著,本文確定采用連續(xù)時(shí)間模型,將不確定性來(lái)源細(xì)分為價(jià)格與需求不確定兩方面,并引入凈利潤(rùn)現(xiàn)金比率、風(fēng)險(xiǎn)容忍度。在具體建模中,將價(jià)格不確定下產(chǎn)銷(xiāo)量分為外生、內(nèi)生兩種情形。其中,產(chǎn)銷(xiāo)量?jī)?nèi)生部分運(yùn)用庫(kù)諾特模型引入競(jìng)爭(zhēng)者的影響;而需求不確定下運(yùn)用薩洛普模型引入產(chǎn)品差異、競(jìng)爭(zhēng)者的影響,并考慮結(jié)合泊松跳躍時(shí)會(huì)對(duì)決策臨界值帶來(lái)的影響。然后,在各模型基礎(chǔ)上擴(kuò)展,引入梯形模糊數(shù)度量包含風(fēng)險(xiǎn)容忍度的決策區(qū)間。最后,本文運(yùn)用數(shù)值分析法對(duì)各模型分別進(jìn)行求解,并運(yùn)用國(guó)泰安數(shù)據(jù)庫(kù)對(duì)滬深股市各行業(yè)企業(yè)凈利潤(rùn)現(xiàn)金比率進(jìn)行整理計(jì)算,基于制造業(yè)數(shù)據(jù)構(gòu)建梯形模糊數(shù),然后設(shè)定風(fēng)險(xiǎn)容忍度得到各模型的進(jìn)入退出決策區(qū)間。接著,運(yùn)用單因素與雙因素靈敏度分析得出了各因素作用方向與強(qiáng)度,主要得出結(jié)論如下:1.對(duì)于壟斷型期權(quán),較高產(chǎn)銷(xiāo)量會(huì)使?jié)撛谶M(jìn)入企業(yè)早進(jìn)入,在位企業(yè)晚退出;對(duì)于分享型期權(quán),較多的競(jìng)爭(zhēng)者會(huì)使?jié)撛谶M(jìn)入企業(yè)晚進(jìn)入,在位企業(yè)早退出;2.企業(yè)與競(jìng)爭(zhēng)者之間競(jìng)爭(zhēng)優(yōu)勢(shì)對(duì)企業(yè)進(jìn)入決策有重要影響,企業(yè)相對(duì)于其它競(jìng)爭(zhēng)者競(jìng)爭(zhēng)優(yōu)勢(shì)顯著會(huì)傾向于早進(jìn)入。3.產(chǎn)品差異越低,日常經(jīng)營(yíng)成本越高,競(jìng)爭(zhēng)者數(shù)目越多,潛在進(jìn)入企業(yè)越晚進(jìn)入,在位企業(yè)越早退出,不過(guò),在競(jìng)爭(zhēng)者數(shù)目一定時(shí),隨著產(chǎn)品差異增加,日常經(jīng)營(yíng)成本對(duì)企業(yè)進(jìn)入退出臨界值的影響下降。最后,基于數(shù)值分析結(jié)果與三維圖,本文針對(duì)企業(yè)與政府分別提出了相應(yīng)對(duì)策建議。
[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.
【學(xué)位授予單位】：哈爾濱工業(yè)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2016
【分類號(hào)】：F272.2
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本文編號(hào)：1995507