委托代理框架下实物期权最优投资策略研究

在非对称信息条件下，讨论实物期权定价及其投资优化问题。根据委托代理理论，提出实物期权投资者和经营者的价值模型，在实物期权经营者对于项目价值信息隐匿条件下，应用极大值原理推导出实物期权最优投资和转移价值的解，指出投资与项目价值、转移价值与项目价值间的关系，分析实物期权价值模型各参数对投资决策的影响作用。

Research on optimal investment tactics of real option under trust-agent conditions

Under non-symmetry information condition, the real option fixed price and the problem of the optimal investment are discussed. According to the theory of the principle trust-agent, the value model of real option for the investor and administrator is given. When the real option administrator hides the project value information, the solution of real option optimal investment and the shift value are derived applying the maximal principle. The relation between the investment and project value and between the shift value and project value are pointed out. The influences of all parameters of the real option value model to the investment policy decision are analyzed.