臺灣博碩士論文加值系統

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

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