Full-Text Search:
Home|Journal Papers|About CNKI|User Service|FAQ|Contact Us|中文
《Journal of Systems Engineering》 2001-01
Add to Favorite Get Latest Update

Theory of fractal Brownian motion (FBM) on investment decision making

CAO Hong duo 1,HAN Wen xiu,LI Ying (1.Institute of Systems Engineering, Tianjin University, Tianjin 300072, China; 2.School of Construction Engineering, Tianjin University, Tianjin 300072, China)  
The pricing model of investment opportunity, regarded as a kind of option on the basis of the option theory, can be formed through the Black Scholes formula. But Ito differential equation is changed and the Black Scholes formula is no longer in force when the project value (V)and initial investment expenditure(C) follow FBM of H index(H≠1/2). The influence of H index on making investment decision is discussed. Finally, steps and tactics to make investment decision are formed on the basis of H index.
【Fund】: 国家自然基金资助项目 !(79970 0 43 )
【CateGory Index】: F830.59
Download(CAJ format) Download(PDF format)
CAJViewer7.0 supports all the CNKI file formats; AdobeReader only supports the PDF format.
Chinese Journal Full-text Database 5 Hits
1 QU Bo1,PAUL S·Addison2,SUN Lan-hong1(1.Science faculty,Nantong University,Nantong 226007,China;2.Cardio Digital Ltd,Elvingston Science Centre,Edinburgh EH331,Scotland);The simplification and application on the fractional Brownian motion[J];上海师范大学学报(自然科学版);2009-06
2 YAN Ai-ling,HUANG Qiang,WANG Yi-ming(Water Resource and Hydropower College,Xi,an University of Technology.Xi′an 710048,China);Persistence Measure on Runoff Evolution of the Yellow River[J];干旱区资源与环境;2007-11
3 NIU Miao-ren LIANG Qin-feng YU Guang-suo WANG Fu-chen YU Zun-hong (Institute of Clean Coal Technology,East China University of Science and Technology,Shanghai 200237,China);R/S Analysis of Pressure Fluctuation Signal of Entrained-Flow Gasifier[J];燃烧科学与技术;2005-05
4 ;证券市场复杂行为分形标度分析与机会决策研究[J];金融研究;2005-01
5 XIA Hui, ZENG Yong, TANG Xiao-wo School of Management, UESTC, Chengdu 610054, China;Survey of real option approach to analyze strategic investments of technology innovations[J];管理科学学报;2004-01
Chinese Journal Full-text Database 1 Hits
1 Fan Longzhen Tang Guoxing (School of Managment,Fudan University,Shanghai 200433);THE VALUE OF INVESTMENT OPPORTUNITY AND INVESTMENT DECISION ——GEOMETRIC BROWNIAN MOTION MODEL[J];系统工程学报;1998-03
Chinese Journal Full-text Database 10 Hits
1 GE Xiang-yu;ZHAO Yi;ZHOU Yan-li;LI Qing;Center for Studies of Intellectual Property Righs,Zhongnan University of Economics and Law;School of Statistics and Mathematics,Zhongnan University of Economics and Law;Emst Young Global Limited;School of Finance,Zhongnan University of Economics and Law;;Values of Patents in the Development of High Technology Firms:Modelling and Simulation with Real Option Pricing driven by the Jump-Diffusion Process[J];系统管理学报;2015-03
2 Wang Wei;School of Statistics and Mathematics,Zhongnan University of Economics and Law;;Research on the Optimal Way and Quantity to Fund Government R&D Projects——Based on Real Option Pricing Model[J];中南财经政法大学研究生学报;2014-05
3 Wang Lu;Xie Deyong;School of Statistics and Mathematics,Zhongnan University of Economics and Law;;The Value of R & D Project Option——Numerical Simulation Based on Fuzzy Real Option Pricing Model[J];中南财经政法大学研究生学报;2013-05
4 ;基于实物期权的高科技项目投资机会价值和投资决策研究[J];改革与开放;2010-02
5 DAI Tian-sheng1,ZHAO Wen-hui2,SUN Shao-rong1,GU Bao-yan1 (1.School of Business,University of Shanghai for Science and Technology,Shanghai 200093,China;2.School of Economics and Management,Shanghai University of Electric Power,Shanghai 200090,China);Value Evaluation Model of Water Rights Option Based on Real Option Theory[J];系统工程;2009-05
6 Chen Youmin;Zhao Wenping(School of Economics and Management,Xi'an Electronic Technologics University,Xi'an 710071,China);To Study on Deciding the Optimal Position of CODP Based on the Real Option[J];价值工程;2008-12
7 CAO Yun-hua,YANG Jian-ping(School of Management,Xi'an University of Architecture and Technology,Xi'an 710055,China);On Optimal Proportion of Investment in Real Estate's Stage Development[J];西安财经学院学报;2008-04
8 HU Jian-zhong,YE Zi-rong(Southwest Jiaotong University,Chengdu 610031,China);Study on Farmers' Long-term Investment based on Real Option[J];经济问题;2007-07
9 AI Ming-ye,QI Zhong-ying(School of Management,Harbin Institute of Technology,Harbin 150001,China.;Model of evaluation and flexible decision selection of ongoing R&D project[J];控制与决策;2007-05
10 Sun Wei~1,Li Shoude~2,Hu Wei~2,Tang Shulan~1(1.School of Management, Xi′an Jiaotong University,Xi′an 710049,China;2.School of Management,Shanghai Jiaotong University,Shanghai 200052,China);Emission Permits Option Value Evaluation Model[J];西安交通大学学报;2007-01
Chinese Journal Full-text Database 10 Hits
1 Ping Qingwei Xia Guifen(Department of Electronic Engineering,Beijing Institute of Technology,Beijing 100081,China);Laser Radar Target Detection Based on Fractional Brownian Motion Model[J];中国激光;2008-01
2 WANG Hong-guang,KANG Shi-feng,ZHANG Zhong-zhi(Qingdao Branch,China Research Institute of Radiowave Propagation,Qingdao 266071,China);Fractional Brownian Motion Model of Sea Clutter and Its Application[J];现代雷达;2005-11
3 Yu Guangsuo, Niu Miaoren, Liang Qinfeng, Yu Zunhong(Institute of Clean Coal Technology ECUST, Shanghai 200237);Present Application Status and Development Trend ofEntrained-flow Gasification of Coal Water Slurry[J];煤化工;2004-03
4 ZHUANG Xin-tian, HUANG Xiao-yuan(School of Business Administration, Northeastern University, Shenyang 110004, China);Scale Theory and Empirical Research in the Securities Market[J];系统工程理论与实践;2003-03
5 CAO Hong-duo+1, LI Ying+2(1. Guanghua School of Management , Peking University,Beijing 100871, China;2.Electronical Engineering Department, Tsinghua University, Beijing 100084, China);Mechanism of Fractal in Economic System and R/S Analysis on Stock Market of China[J];系统工程理论与实践;2003-03
6 HE Jia1, ZENG Yong21. School of Business Administration, The Chinese University of Hong Kong (CUHK), Shatin, NT, Hong Kong China;2. Management College, University of Electronic Science and Technology of China, Chengdu 610054, China;Impact of speed of innovation arrival on innovation adoption timing: Case of two generations of future innovations[J];管理科学学报;2003-01
7 JIAN Zhi-hong,LI Chu-lin (Huazhong University of Science and Technology,Wuhan 430074,China);A Real Option Approach to the Industrialization of High Technology[J];管理工程学报;2002-04
8 ZHANG Wei,AN Ying hui (Institute of Financial Engineering, College of Management, Tianjin University,Tianjin 300072,China);Options Analysising Approach on Project Investment[J];西北农林科技大学学报(社会科学版);2001-03
9 AN Ying hui 1,ZHANG Wei 1,2 1.Institute of Financial Engineering, School of Management, Tianjin University, Tianjin 300072, China 2.Tianjin University of Finance & Economic, Tianjin 300222, China;Analysis and development of the method and model of option game theory[J];管理科学学报;2001-01
10 CAO Hong duo 1,HAN Wen xiu,LI Ying (1.Institute of Systems Engineering, Tianjin University, Tianjin 300072, China; 2.School of Construction Engineering, Tianjin University, Tianjin 300072, China);Theory of fractal Brownian motion (FBM) on investment decision making[J];系统工程学报;2001-01
【Secondary References】
Chinese Journal Full-text Database 10 Hits
1 ZHANG Rong;SI Fengqi;XU Zhigao;GUI Hansheng;WANG Chuanqi;Southeast University;Ma'anshan Dangtu Electric Power Co. Ltd.;;Fractal Characteristics of Pulverized Coal Boiler in Power Plant Furnace Pressure[J];上海电力学院学报;2014-03
2 HE Chunhui;SHEN Xianglin;ZHOU Haijun;Key Laboratory of Energy Thermal Conversion and Control of the Ministry of Education,Southeast University;;Stability analysis of dense phase pneumatic conveying of pulverized coal at high pressure[J];化工学报;2014-03
3 CHEN Ya-li 1,FU Tian 1,LAO Yong-chang 2(1.The Electric Power Research Institute of Guangdong Grid Co.,Guangzhou 510080,China;2.School of Economics and Management,North China Electric Power University,Beijing 102206,China);A Game Theory on the Selection of R&D Strategies and Increase-in-Value Option Analysis of Patent Transaction for Electric Power Research Institutes[J];科技和产业;2013-07
4 Wang Qian Yu Wang Jing;China stock market's fractal feature research[J];特区经济;2013-07
5 LI Wenjie1,WEI Mei2(1.Qingdao University of Science and Technology,Qingdao 266061,China;2.Beijing Foton Car Company,Beijing100000,China);Research on Enterprise R&D Investment Decision Model[J];科技管理研究;2013-12
6 ZHANG Chun(School of Economics,Nankai University,Tianjin 300192,P.R.China);Applications of Real Options in Capital Allocation: A Review[J];重庆大学学报(社会科学版);2013-03
7 Hu Caihong1,Wang Jijun2,Chai Xiaoling3,Guan Xinjian1(1.School of Water Conservancy and Environment of Zhengzhou University,Zhengzhou 450001,China; 2.Henan Provincial Climate Center,Zhengzhou 450003,China; 3.Changjiang Institute of Survey,Planning,Design and Research,Wuhan 430010,China);Research Advances of Impact of Climate Change on Runoff of the Yellow River Basin[J];气象与环境科学;2013-02
8 Li Zhi1 Chen Shu2;Application of Option Game Theory in the Valuation of the Start-ups in Venture Capital[J];财经科学;2012-11
9 Zhao Wei(School of Business,Huaihai Institute of Technology,Lianyungang 222001,China);Research on Pricing of Depressed Option Stock Under Fractional Brownian Motion Environment[J];南京师大学报(自然科学版);2012-03
10 SUN Zong-qi1,LIU Yu2(1.Department of Mathematics,Xi′an Siyuan University,Xi′an 710038,China; 2.School of Energy and Power Engineering,Xi′an Jiaotong University,Xi′an 710049,China);An optimal financial approach under the fractional Brownian model with poisson jump[J];西安工程大学学报;2012-02
©2006 Tsinghua Tongfang Knowledge Network Technology Co., Ltd.(Beijing)(TTKN) All rights reserved