Analysis on Model of Investment under Interest Rate Uncertainty

Yancheng Zhu
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Abstract

In order to make investment model targeted and practical, the disturbance in the right side of the capital accumulation equation in the model should be clarified and thus a model of stochastic investment under interest rate uncertainty should be established. The research is based upon Calcagnini's thought, but the method is improved. When the interest rate is fixed, enterprise expects the marginal expected present value of capital to be equal to the cost of capital. In the research about uncertain interest rate model, it is found that when investment is reversible, increasing investment during the fluctuation of interest rate will make the expected discounted profit rise.
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利率不确定性下的投资模型分析
为了使投资模型具有针对性和实用性,需要澄清模型中资本积累方程右侧的扰动,从而建立利率不确定性下的随机投资模型。这项研究是基于Calcagnini的思想,但方法有所改进。当利率固定时,企业期望资本的边际期望现值等于资本成本。在对不确定利率模型的研究中发现,当投资具有可逆性时,在利率波动期间增加投资会使预期贴现利润上升。
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