摘要
采用与实物期权理论中分析投资项目进入或退出策略相类似的方法,研究柔性产品组合的最优切换问题,假设两个产品组合可以永续生产、净利润流服从几何布朗运动、产品组合的切换存在成本及在产品组合切换的最优决策时只需考虑产品组合的相对获利能力,通过求解非线性方程组,用图示分析的方法研究了利润流的波动程度、切换成本及产品组合的关联度对产品组合最优切换的影响.与其它实物期权分析中的结论类似,分析表明净利润波动程度和切换成本的增大将提高触发产品组合最优切换所需的相对获利能力.还分析了产品组合的关联程度对最优切换的影响,发现关联程度的增大将减小触发产品组合最优切换所需的相对获利能力.
This paper analyzes the optimal switching of flexible product-mix using similar real option approach which is applied to study conrbined entry and exit strategies in project investment. The key assumptions are that one product-mix can be perpetually produced while two product-mixes exist perpetually, the cash flow follows geometric Brownian motion, there exists switching cost, and only relative profitability of product-mix is considered in the optimal decision making. By solving nonlinear set of equations, the effects of volatility, switching cost and correlation of product-mix on the optimal switching are analyzed via a numerical example. It shows that the triggering level of relative profitability is increasing with the increases of volatility and switching cost, which is similar to other results in real option theoretical applications. Furthermore, the analysis of the effect of product-mix＇s correlation on the optimal switching demonstrates that an increase in the correlation decreases the triggering level of relative profitabihty.
出处
《管理科学学报》
CSSCI
北大核心
2006年第1期14-19,共6页
Journal of Management Sciences in China
基金
国家自然科学基金资助项目(7030100370071012)
关键词
柔性产品组合
实物期权
最优切换
flexible product-mix
real option
optimal switching
