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随着科学技术的迅速发展,研发(R&D)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.
With the rapid development of science and technology, research and development (R & D) activities are increasingly important to the survival and development of enterprises.This paper divides the R & D investment projects into two kinds: the non-hedging technical risks in the pre-R & D period and the R & D products into the market When the price risk and the uncertainty of the demand bear the price risk, and the latter can be partially hedged.This paper considers how to make a corresponding investment and consumption problem for an enterprise that focuses on innovative R & D investment.Through the establishment of utility maximization model, The stochastic optimal control theory and method are used to get the optimal strategy about exponential utility function, and the R & D investment value and its investment / suspension threshold are described.Numerical results show that larger technical risk will lead to greater information generation value, Making the total value of R & D increase non-diminishing; the attitude of risk aversion has a significant impact on R & D value and R & D / suspension threshold of R & D enterprises; R & D / suspension threshold is different from traditional NPV NPV) to zero threshold.