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在我国市场经济发展的过程中,某些具有不确定性和投资不可逆性的产业市场容易出现投资过热问题.这时政府往往频繁出台一系列宏观调控政策以规范市场,但效果不佳.为此从研究该类市场的投资主体—企业的投资决策机理的角度出发,通过引入实物期权的理论,给出了在完善和平稳发展的市场条件下及在政府政策冲击的市场条件下,价格分别服从单纯的几何布朗运动及混合的几何布朗运动/泊松跳跃过程的企业最佳投资规则及其临界价格,并进行了比较,结果表明:“政策市”下的企业投资更富“冒进性”.
In the course of the development of the market economy in our country, some industrial markets with uncertainty and investment irreversibility are prone to over-investment, when the government often promulgates a series of macro-control policies to regulate the market, but the effect is not good From the point of view of studying the investment decision-making mechanism of this kind of market, through the introduction of the theory of real option, this paper gives the conclusion that under the market condition of perfecting and steady development and under the market condition of the impact of government policy, Simple geometric Brownian motion and mixed geometric Brownian motion / Poisson jumping process of the best investment rules and its critical prices, and compared, the results show that: “policy market” under the more investment-rich “aggressive.”