基于实物期权博弈的风险投资决策研究

发布时间：2018-07-21 11:01

【摘要】：风险投资在推动高新技术和新兴产业、企业发展方面的作用是巨大的，越来越受到国际特别是国内的关注和重视。国内理论界在20世纪80年代就注意到发展风险投资，对于我国这个新兴经济体在技术进步、产业结构升级、经济快速发展的紧迫性和重要性。我国风险投资增长迅速，风险投资企业的数量明显增多，筹集到的资金数额巨大，但是从发展阶段来看，我国的风险投资业还不发达，，投资项目的成功率不高，效益不好，对经济增长和产业结构优化的贡献率还很小。究其原因，除了我国风险投资起步较晚，政策法律环境不够完善外，还有理论研究的滞后和实际运作经验的缺乏，特别是缺乏有效的风险投资决策评价方法和机制。鉴于此，本文的主要研究内容是：首先从多个角度介绍了我国风险投资发展的概况，指出决策过程缺乏行之有效有效的评价方法。文章在总结和分析的前提下，建立了符合我国特点的风险投资决策评价指标体系，构建了适合我国国情的风险投资多目标决策模型，并借助matlab进行了层次分析，借助spss软件进行了主成分分析。传统的风险投资决策方法把决策固定在一个时间点上，忽视了风险项目投资中存在的管理弹性价值和战略价值，盲目决策导致投资失败。本论文将实物期权理论引入风险投资项目决策之中，利用实物期权评估风险项目的弹性价值和投资机会价值，降低由不确定性所带来的风险，更真实的反应了投资项目的实际价值，改进了风险投资决策的评估手段和方法。针对风险投资多阶段投资，多种不确定性并存的特点，阐明了风险投资所包含的多种期权价值，构建了分阶段复合实物期权模型并进行了实证分析，运用蒙特卡洛模拟法并借助excel求得了复合期权的价值。最后在指出实物期权法缺陷的基础上，引入博弈论，分析了风险投资中的期权博弈性，结合寡头垄断市场的成立条件，构建了风险投资实物期权博弈模型，将我国风险投资中常出现的对赌协议与期权博弈相联系，进行了实证研究。
[Abstract]:Venture capital plays an important role in promoting the development of new and high technology and new industries, and has been paid more and more attention by the international, especially at home. The domestic theorists paid attention to the development of venture capital in the 1980s. It is urgent and important for China's emerging economy to advance in technology, upgrade its industrial structure and develop rapidly. With the rapid growth of venture capital in China, the number of venture capital enterprises increases obviously, and the amount of funds raised is huge. However, from the development stage, the venture capital industry in our country is still underdeveloped, the success rate of investment projects is not high, and the benefits are not good. The contribution rate to economic growth and industrial structure optimization is still very small. In addition to the late start of venture capital and inadequate policy and legal environment in China, there is also the lag of theoretical research and the lack of practical operational experience, especially the lack of effective methods and mechanisms for the evaluation of venture capital decision-making. In view of this, the main research contents of this paper are as follows: firstly, the general situation of venture capital development in China is introduced from several angles, and it is pointed out that the decision-making process lacks an effective evaluation method. On the premise of summing up and analyzing, the paper sets up the evaluation index system of venture capital decision, which accords with the characteristics of our country, and constructs a multi-objective decision-making model of venture capital suitable for our country's national conditions, and makes a hierarchical analysis with the help of matlab. Principal component analysis was carried out with spss software. The traditional methods of venture capital decision fix the decision at a time point and ignore the value of management elasticity and strategic value in venture investment. Blind decision leads to the failure of investment. In this paper, the real option theory is introduced into the venture capital project decision-making, and the real option is used to evaluate the elastic value and the investment opportunity value of the risk project, so as to reduce the risk caused by the uncertainty. It reflects the real value of the investment project and improves the evaluation method of venture capital decision. In view of the multi-stage investment of venture capital and the coexistence of various uncertainties, this paper clarifies the value of various options contained in venture capital, constructs a multi-stage compound real option model and makes an empirical analysis. The value of compound option is obtained by Monte Carlo simulation and excel. Finally, on the basis of pointing out the defects of the real option method, this paper introduces the game theory, analyzes the option game in venture capital, and constructs the real option game model of venture capital based on the conditions of the oligopoly market. This paper makes an empirical study on the relationship between the gambling agreement and the option game, which is often found in venture capital in China.
【学位授予单位】：江苏科技大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.48;F224

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