关键词: 前景理论, Bayes后验信念, 学习模式, 最优投资时机

Abstract: This study aims at the problem of determining the optimal timing of investment in venture capital projects. First, given the risk investment preferences of decision-makers, based on the prospect theory divides the decision-making process into two stages and clarifies its decision-making mechanism. Secondly, introducing Bayesian posterior beliefs, establishing the HJB equation according to the stochastic optimal control model, and ascertaining the projects return function, then combining with the decision weight function to identify the expected value of decision-makers. Eventually, by identifying the replacement timing of different learning modes to determine the optimal learning strategy of decision-makers and construct the optimal investment timing model based on value maximization. Through simulation analysis, we explore the roles of information quality and learning cost in learning mode selection and investigate the effects of information volatility and discount rate on the optimal investment timing of venture capital projects, respectively. The results illustrate that: (i) The expected value of decision-makers will be jointly influenced by the learning mode and discount rate. When the projects' investment prospect is worse and the discount rate is low, decision-makers will choose the learning mode with lower learning cost in order to reduce the information collection cost. (ii) In the process of decision-makers choosing a learning mode to update projects' investment prospect expectations, if information quality decreases with the rise of information volatility, the optimal investment timing of the projects is in the same direction as the information volatility. (iii) During the process of value assessment by decision-makers based on prospect theory, if the projects return increases with the decrease of the discount rate, decision-makers will control the information collection cost and tend to choose the learning mode with low learning cost, and at this time the optimal investment timing of the projects is inversely related to the discount rate.

Key words: Prospect theory, Bayesian posterior beliefs, Learning mode, Optimal investment timing