臺灣博碩士論文加值系統

本論文研製之目的在於分析在一存在不確定性因素之環境下，某公司如果決定最適投資策略。以往的研究中並無考慮"研發"的因素，在此我們加入創新的產品或生產方法，考慮在產品價格上的不確定性之下對最適投資策略的影響。這個構想來自我們認為在實際的市場上，廠商通常會嘗試以研發新技術或新產品的方法來提高產品的價格，進而提升公司的價值。在此論文中，我們分別以離散型及連續型的模型求出在一個存在不確定性的環境下公司的最佳投資策略，且討論其特性，而後根據最佳投資策略來算得該公司的最大現有價值。我們將會證明產品需求的不確定性所帶來的效應對於最適投資及公司現值有正向的影響。

This thesis analyzes the optimal investment strategy of a competitive firm in an uncertain environment. In contrast to the previous contribution, the current study takes into account the impacts on price of R&D investment in the framework of optimal investment under uncertainty. This formulation captures an important observation of the business world, that is, firms constantly face trade-off in R&D activities which can raise the firm value by delivering new technology. We characterize the firm's optimal investment policy explicitly and derive solutions for firm value in some different situations by considering discrete-time and continuous-time models. We show that demand uncertainty has a positive effect on the optimal investments and the present value of a firm.

中文摘要 iii
英文摘要 iv
Chapter 1. Introduction 1
Chapter 2. The Basic Model and Parameters 3
Chapter 3. One-Period Model 5
3.1. Optimization problem at time 1 5
3.2. Optimization problem at time 0 6
3.3. Example 12
Chapter 4. Two-Period Model 15
4.1. Optimization problem at time 2 15
4.2. Optimization problem at time 1 16
4.3. Optimization problem at time 0 20
4.4. Example 25
Chapter 5. Continuous-Time Model 31
5.1. Convex cost functions 32
5.2. Linear cost functions 34
5.2.1. Investment without constraints 35
5.2.2. Investment with constraints 36
Chapter 6. Conclusion 39
Appendix A. Different Forms of V1 in All Conditions 41
Appendix B. Proof of Existences of I 0 and R 0 45
Appendix C. Derivation of Equation (5.6) 49
Bibliography 53

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