技术和价格不确定下企业研发投资决策研究
发布时间：2018-08-09 11:36
【摘要】：随着科学技术的迅速发展,研发(RD)活动对企业的生存与发展日益重要.本文将企业研发投资项目所承受的风险分为两种:研发前期不可对冲的技术风险,以及研发产品投入市场时因价格和需求的不确定性所承受的价格风险,而后者是可以部分对冲的.本文考虑一个以创新研发投资为主的企业,如何进行相应的投资消费问题.通过建立效用最大化模型,运用随机最优控制理论与方法得到关于指数效用函数的最优策略,同时阐述了研发投资价值及其投资/中止阈值.数值结果表明:较大的技术风险,会产生更大的信息生成价值,使得研发的总价值不减反增;风险厌恶态度对企业的研发价值以及研发/中止阈值都有较明显的影响;因研发信息生成价值的存在,使得研发/中止阈值不同于传统净现值(NPV)降为零的阈值.
[Abstract]:With the rapid development of science and technology, R & D (RD) activities are increasingly important for the survival and development of enterprises. This paper divides the risk of enterprise R & D investment project into two kinds: the technical risk that can not be hedged in the early stage of R & D, and the price risk caused by the uncertainty of price and demand when the R & D product is put into the market. The latter can be partially hedged. In this paper, we consider how to carry out corresponding investment and consumption in an enterprise with innovative R & D investment. By establishing the utility maximization model and applying the stochastic optimal control theory and method, the optimal strategy about exponential utility function is obtained, and the value of R & D investment and its investment / discontinuation threshold are expounded. The numerical results show that: greater technical risk will produce greater value of information generation, so that the total value of R & D will increase, risk aversion attitude has a significant impact on R & D value and R & D / stop threshold. Because of the existence of R & D information generating value, the R & D / stop threshold is different from the traditional NPV (NPV) reduced to zero threshold.
【作者单位】： 暨南大学大数据决策研究所;重庆大学经济与工商管理学院;
【分类号】：F273.1
[Abstract]:With the rapid development of science and technology, R & D (RD) activities are increasingly important for the survival and development of enterprises. This paper divides the risk of enterprise R & D investment project into two kinds: the technical risk that can not be hedged in the early stage of R & D, and the price risk caused by the uncertainty of price and demand when the R & D product is put into the market. The latter can be partially hedged. In this paper, we consider how to carry out corresponding investment and consumption in an enterprise with innovative R & D investment. By establishing the utility maximization model and applying the stochastic optimal control theory and method, the optimal strategy about exponential utility function is obtained, and the value of R & D investment and its investment / discontinuation threshold are expounded. The numerical results show that: greater technical risk will produce greater value of information generation, so that the total value of R & D will increase, risk aversion attitude has a significant impact on R & D value and R & D / stop threshold. Because of the existence of R & D information generating value, the R & D / stop threshold is different from the traditional NPV (NPV) reduced to zero threshold.
【作者单位】： 暨南大学大数据决策研究所;重庆大学经济与工商管理学院;
【分类号】：F273.1
【相似文献】
相关期刊论文 前10条
1 刘新同;;我国民营企业研发投资特征分析[J];科技管理研究;2009年12期
2 关勇军;瞿e，
本文编号：2173950
本文链接：https://www.wllwen.com/jingjilunwen/xmjj/2173950.html
