基于实物期权的风险投资决策模型研究

Venture Investment Decision Model Based on Real Options

针对风险投资项目所具有的时间选择期权和放弃期权的混合特征 ,在考虑资金的时间价值、投资收益的不确定性、投资策略组合等的基础上 ,根据决策树的思想 ,采用二项式期权定价理论和不确定规划方法 ,构造了一种以战略净现值最大化为投资目标的风险投资决策模型 .该模型合理地评估了风险投资机会的价值 ,有效地解释了风险资本家投资时机选择和投资期限决策行为 。

Contraposing the venture investment projects with the mixed characteristics of investment timing option and abandonment option, considering the time value of capital, the uncertainty of investment return, and the combination of investment strategies, and using the decision tree, the binomial options-pricing model and programming approach is employed under uncertain conditions to develop a venture investment decision model to serve the investment objective of maximizing the strategic net present value. The model properly evaluates the venture investment opportunity, effectively demonstrates the behavior of venture capitalists in determination of investing time and duration, and can be the operation gist for venture capitalist to make decisions on venture investment.