【摘要】：隨著科學(xué)技術(shù)的迅速發(fā)展,研發(fā)(RD)活動對企業(yè)的生存與發(fā)展日益重要.本文將企業(yè)研發(fā)投資項目所承受的風(fēng)險分為兩種:研發(fā)前期不可對沖的技術(shù)風(fēng)險,以及研發(fā)產(chǎn)品投入市場時因價格和需求的不確定性所承受的價格風(fēng)險,而后者是可以部分對沖的.本文考慮一個以創(chuàng)新研發(fā)投資為主的企業(yè),如何進行相應(yīng)的投資消費問題.通過建立效用最大化模型,運用隨機最優(yōu)控制理論與方法得到關(guān)于指數(shù)效用函數(shù)的最優(yōu)策略,同時闡述了研發(fā)投資價值及其投資/中止閾值.數(shù)值結(jié)果表明:較大的技術(shù)風(fēng)險,會產(chǎn)生更大的信息生成價值,使得研發(fā)的總價值不減反增;風(fēng)險厭惡態(tài)度對企業(yè)的研發(fā)價值以及研發(fā)/中止閾值都有較明顯的影響;因研發(fā)信息生成價值的存在,使得研發(fā)/中止閾值不同于傳統(tǒng)凈現(xiàn)值(NPV)降為零的閾值.
[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.
【作者單位】： 暨南大學(xué)大數(shù)據(jù)決策研究所;重慶大學(xué)經(jīng)濟與工商管理學(xué)院;
【分類號】：F273.1

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