THE CAPITAL MARKET VALUE OF A MULTIPERIOD INVESTMENT WITH THE OPTION OF PREMATURE ABANDONMENT
指出传统均值-方差方法在不确定下确定项目最优放弃策略的缺陷，提出用多期资本资产定价模型作为决策标准，并计算最优放弃策略及限制放弃的边际成本。
Conventional approaches to determining optimal abandonment of a project under uncertainty either assume risk‐neutrality or impose a mean‐variance criterion. Risk‐neutrality is unrealistic while the mean‐variance criterion precludes determination of the optimal strategy without consideration of covariances of returns among projects. Further, the use of variance of present value as a risk measure may result in the “optimality” of a time 0 strategy that involves maintaining a position at time t that will be “suboptimal” and would not be maintained. The use of the multiperiod capital asset pricing model (CAPM) as a decision criterion is consistent with contemporary theory of market behavior and remedies the deficiencies of the mean‐variance approach noted above. Computationally, the optimal strategy for abandonment, when the commitment must be made at time 0 (a lease, say), can be determined with little difficulty beyond that of mean‐variance models. When time of abandonment can remain unspecified, the value of the prospect that abandonment will occur at the optimal time can be determined, though the technique necessary is considerably more complicated. In both cases, the marginal costs of commitments that limit discretion over abandonment can be determined and attributed to those commitments.