(3.238.186.43) 您好!臺灣時間:2021/02/28 15:36
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果

詳目顯示:::

我願授權國圖
: 
twitterline
研究生:林岳祥
研究生(外文):Lin Yueh-Hsiang
論文名稱:不確定分解截斷模型在投資決策上之應用
論文名稱(外文):Uncertainty Resolution under Truncation: Applications on the Investment Decision.
指導教授:葉小蓁葉小蓁引用關係
指導教授(外文):Yeh Hsiaw-Chan
學位類別:碩士
校院名稱:國立臺灣大學
系所名稱:財務金融學研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:1999
畢業學年度:87
語文別:中文
論文頁數:67
中文關鍵詞:不確定分解最適停止
外文關鍵詞:Uncertainty ResolutionOptimal Stopping
相關次數:
  • 被引用被引用:0
  • 點閱點閱:121
  • 評分評分:系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:0
不確定分解(Uncertainty Resolution)理論為Snell(1952)的最適停止(Optimal Stopping)理論的延伸之一,在財務與經濟領域的應用最早是在投資或研發創新的決策上,此一探討從Jensen(1982)開始,到McCardle(1985)時將此理論一般化。本文的目的在嘗試延伸McCardle(1985)的模型,考慮當決策期間被截斷(Truncation)在有限期時的決策。結果顯示不論利潤函數之曲度(Curvature)為何,事前預期利潤越接近0時蒐集訊息的價值越高,因此蒐集訊息的區域要存在的充要條件為:事前預期利潤為0的成功率下蒐集訊息的價值為正。現金流入與函數的曲度會影響此一損益平衡的成功率值所在,但不影響區域存在的條件。
此外,在不確定性隨著訊息越多而下降的設定下,本文亦得到錐形策略存在的條件並不因為決策期間的增減而改變的結果。同時,公司的最適策略仍為錐形的結果。

Uncertainty Resolution Theory is an extensive of the Optimal Stopping Theory, introduced by Snell(1952). The applications in the financial and economic field are about investment or innovation decisions, firstly appeared in Jensen (1982), and generalized in McCardle(1985). This paper follows McCardle's model, and considers the assumption that the decision period is truncated in fixed numbers. We show that no matter what the curvature of profit function is, the value of collection information is higher when the prior anticipated return is more close to zero. Therefore, the sufficient and necessary condition about the existence of the continuation region is that the value of collection information on the break-even point is strictly positive. Cash inflow and the curvature of profit function only affect the position of break-even point but not the condition.
Besides, under the characteristic of uncertainty resolution model, the existence condition is irrelevant in the number of periods, and the firm's optimal strategy is still conic-shaped.

第一章 緒論1
第二章 不確定分解理論之應用4
第三章 一期截斷模型 14
第一節基本假設 14
第二節截斷於一期 15
一、進行順序15
二、模型分析17
第四章 兩期以上截斷模型22
第一節進行順序22
第二節模型分析23
第三節繼續區域29
第五章 數值實例33
第六章 結論45
附錄一 Beta-Bernoulli訊息結構共軛性的證明49
附錄二 引理2 之證明51
附錄三 引理3 之證明53
附錄四 系理1 之證明56
附錄五 最適停止賽局58
參考文獻63

Bensoussan, A. and Friedman, A. "Nonlinear Variational Inequalities and Differential Games with Stopping Times," Journal of Functional Analysis, 16 (Jan. 1974), 305-352.
Bensoussan, A. and Friedman, A. "Nonzero-Sum Stochastic Differential Games with Stopping Times and Free Boundary Problem," Transactions American Mathematical Society, 231 (1977), 275-327.
Bikhchandani, S. and Sharma, S., "Optimal Search with Learning," Journal of Economic Dynamics and Control, 20 (1996), 333-359.
Bismut, J. M., "Sur un Probleme de Dynkin," Zeitschrift fur Wahrscheinlichkeitstheorie und Verwandte Gebiete, 39 (1977), 31-53.
Chaput, H., "Markov Games," Technical Report No.33, Department of Operations Research, Stanford University, (1974).
Christensen, R., "Search for the Lowest Price When the Unknown Distribution of Prices is Modeled with a Dirichlet Process," Ph.D. Thesis (University of Minnesota, Minneapolis, MN, 1983).
Dynkin, E., "Game Variant of a Problem on Optimal Stopping," Soviet Mathematics Doklady 10 (1969), 270-274.
Elbakidze, N., "Construction of the Cost and Optimal Policies in a Game Problem of Stopping a Markov Process," Theory of Probability and Its Applications, 21 (1976), 163-168.
Fine, C. and Li, L., "Equilibrium Exit in Stochastically Declining Industries," Games and Economic Behavior, 1 (1986), 40-59.
Huang, C. and Li, L., "Continuous Time Stopping Games," Mathematics of Operations Research, 13 (Aug 1990), 497-507.
Jensen, R., "Adoption and Diffusion of an Innovation of Uncertain Profitability," Journal of Economic Theory, 27 (1982), 182-193.
Kiefer, J., "Optimal Stopping in Games with Continuous Time," Probability Theory and Its Applications, 18 (1971), 556-562.
Krylov, N., "Control of Markov Processes and W-Space," Izvestiya Mathematics USSR, 5 (1971), 233-266.
Lippman, S. A. and J. J. McCall, "Job Search in Dynamic Economy," Journal of Economic Theory, 12 (1976a), 365-390.
Lippman, S. A. and J. J. McCall, "The Economics of Job Search" Economic Inquiry, 14 (1976b), 155-189 and 347-368.
Lippman, S. A. and K. F. McCardle, "Uncertain Search: A Model of Search among Technologies of Uncertain Values," Management Science, 37 (Nov 1991), 1475-1495.
Mamer, J.W., "Monotone Stopping Games," Journal of Applied Probability, 24 (1987), 386-401.
Mamer, J.W. and K. F. McCardle, "Uncertainty, Competition, and the Adoption of New Technology," Management Science, 33 (Feb 1987), 161-177.
McCardle, K. F., "Uncertainty, Competition, and the Adoption of New Technology," Management Science, 31 (Nov 1985), 1372-1389.
Morgan, P. B., "Distribution of the Duration and Value of Job Search with Learning," Economitrica, 53 (1985), 1199-1232.
Morimoto, H., "Dynkin Games and Martingale Methods," Stochastics 13 (1984), 213-228.
Morimoto, H., "Non-Zero-Sum Discrete Parameter Stochastic Games with Stopping Times," Probability Theory and Related Fields, 72 (1986), 155-160.
Nagai, H., "Nonzero-Sum Stopping Games of Symmetric Markov Process," Probability Theory and Related Fields, 75 (1987), 487-497.
Nakoulima, O., "Inequations Variationnelles et Quasi-Variationnelles Bilaterales Associees a Des Problemes de Jeux Stochastiques a Somme Nulle ou Non Nulle," These, Universite de Bordeaux I, no.674.
Nash, J., "Non-Cooperative Game," Annals of Mathematics, 54 (1951), 286-295.
Neveu, J., "Discrete Parameter Martingales," (1975), North-Holland Publishing Company, Amsterdam.
Ohtsubo, Y., "Optimal Stopping in Sequential Games with or Without a Constraint of Always Terminating," Mathematics of Operations Research, 11 (Nov 1986), 591-607.
Ohtsubo, Y., "A Nonzero-Sum Extension of Dynkin's Stopping Problem," Mathematics of Operations Research, 12 (May 1987), 277-296.
Reinganum, J., "Strategic Search Theory," International Economic Review, 23 (1982), 1-17.
Rothschild, M., "Searching for the Lowest Price When the Distribution of Prices is Unknown," Journal of Political Economy, 82 (1974), 689-711.
Rosenfield, D. B. and R.D. Shapiro, "Optimal Adaptive Price Search," Journal of Economic Theory, 25 (1981), 1-20.
Snell, J. L., "Applications of Martingale System Theorems," Transactions of the American Mathematical Society, 73 (1952), 293-312.
Stettner, L., "Zero-Sum Markov Games with Stopping and Impulsive Strategies," Applied Mathematics and Optimization, 9 (1982), 1-24.
Stigler, G. J., "The Economics of Information," Journal of Political Economy, 69 (Jun. 1961), 213-225.
Stigler, G. J., "Information in the Labor Market," Journal of Political Economy, 70 (Oct. 1962), 94-104.
Trigeorgis, L. "Real Option-Managerial Flexibility and Strategy in Resource Allocation," (MIT Press, 1996).

QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top
系統版面圖檔 系統版面圖檔