Invest or Exit? Optimal Decisions in the Face of a Declining Profit Stream
Invest or Exit? Optimal Decisions in the Face of a Declining Profit Stream
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DOI：
10.1287/opre.1090.0740
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发表时间：
2010-05-01
影响因子：
2.7
通讯作者：
Kwon, H. Dharma
中科院分区：
文献类型：
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作者：
Kwon, H. Dharma
即使面对日益恶化和高度不稳定的需求，企业也经常投资而不是抛弃老化的技术。为了研究这一现象，我们将企业的利润流建模为负漂移的布朗运动。在每个时间点，公司可以继续运营，也可以停止并退出项目。此外，还有一个一次性的投资选项，可以提高项目的利润率。利用随机分析，我们证明了最优策略总是存在的，并且它有三个阈值。投资前有投资门槛和退出门槛，投资后有退出门槛。我们还对布朗运动的漂移和波动的阈值进行了比较静力学分析。当投资带来的利润增长足够大时，我们发现了一个新颖的结果：投资门槛在波动率上降低。
Even in the face of deteriorating and highly volatile demand, firms often invest in, rather than discard, aging technologies. To study this phenomenon, we model the firm's profit stream as a Brownian motion with negative drift. At each point in time, the firm can continue operations, or it can stop and exit the project. In addition, there is a one-time option to make an investment that boosts the project's profit rate. Using stochastic analysis, we show that the optimal policy always exists and that it is characterized by three thresholds. There are investment and exit thresholds before investment, and there is a threshold for exit after investment. We also effect a comparative statics analysis of the thresholds with respect to the drift and the volatility of the Brownian motion. When the profit boost upon investment is sufficiently large, we find a novel result: the investment threshold decreases in volatility.