以量化模型解釋企業資源規劃投資─在收益和成本皆不確定下

Abstract

企業資源規劃系統對企業而言是一種基礎電子化交易流程系統，它可簡化企業流程及於一資訊平台中整合不同部門的主要職能。實質選擇權理論是從財務選擇權衍生出來的，它使企業能正確地評估資訊科技(ERP)在不確定性下的投資及為管理者創造價值。因此，本篇論文使用不同於傳統淨現值法的實質選擇權理論之觀點探討企業資源規劃投資在收益和成本皆不確定下的評價。我們用一量化模型和實值選擇權觀點求出企業資源規劃投資的最優投資法則。我們主要有三個研究步驟：首先，我們建立對於ERP在收益和成本皆不確定下的投資建立基本模型。第二，我們利用偏微分方程法結合Dixit和Pindyck在”不確定條件下的投資”一書中所提及的最優門檻比值求解法求得最優收益與成本門檻比值。最後，我們根據所求出的門檻比值找出ERP投資的最優投資法則。本文除了點出ERP投資的重要性與不確定性外，也提供管理者於導入ERP前的最適投資規則。而在學術界方面，偏微分方程法在ERP投資的評價上應考慮收益和成本兩個主要不確定性因子，並且我們縮短及彌補了這些量化ERP這種不確定性下投資的工具之差距。

Enterprise Resource Planning system is a kind of electronic-based transaction processing system for enterprises. It streamlines business processes by creating an enterprise-wide transaction structure, and integrates key functions of different departments within an integrated information system platform. Real option theory is derived from financial option, it enables organizations accurately evaluate IT investment under uncertainty, and can guide managers create value actively. Therefore, this paper explores the evaluation of ERP investments both revenue and cost under uncertainty using the real option theory different from traditional NPV method for modeling. We utilize a quantitative model and real option concept to find the optimal investment rule for the ERP investment. Our research processes as follows: Firstly, we establish the basic model for ERP investment that both revenue and cost under uncertainty. Secondly, we utilize PDE method combine with the solution of optimal threshold ratio which proposed by Dixit and Pindyck in a book named “Investment under uncertainty” to obtain the optimal threshold ratio of revenue and cost. Finally, we find the optimal investment rule for ERP investment according the threshold value that we obtained. Contribution to the management aspects of this study, we not only noted the importance of ERP investment evaluation and ERP investment uncertainty, but also provides firms the optimal investment model before investing. The academic side, we pointed out that the use of partial differential equation for ERP investment should consider the costs and revenue of the two main factors of uncertainty, and also bridge the gap of tool to quantify the ERP investments under uncertainty.