多种风险下研发项目投资决策博弈分析

doi:10.12005/orms.2015.0160

运筹与管理 ›› 2015, Vol. 24 ›› Issue (5): 66-74.DOI: 10.12005/orms.2015.0160

多种风险下研发项目投资决策博弈分析

曹博洋,姜明辉

哈尔滨工业大学管理学院,黑龙江哈尔滨150001

收稿日期:2014-06-23 出版日期:2015-10-12
作者简介:曹博洋(1982-),男,北京人,博士研究生,研究方向为风险管理和实物期权;姜明辉(1967-),男,黑龙江牡丹江人,教授,博士生导师,研究方向为实物期权、产业经济和个人信用评估。
基金资助:
国家自然科学基金资助项目(70871030)

R&D Project Investment Decision Game Analysis Under A Variety of Risks

CAO Bo-yang, JIANG Ming-hui

School of Economics and Management, Harbin Institute of Technology, Haerbin 150001, China

Received:2014-06-23 Online:2015-10-12

摘要/Abstract

摘要： 研发项目代表了高新技术企业的核心竞争力,但是其投资和研发的过程所包含的多种风险可能会造成企业经济上的损失。为了保证竞争优势和收益最大化,企业投资前需要对项目的估值非常的精确,以便在竞争中做出最优投资决策。本文以市场中的两个竞争性企业为例,利用欧式复合期权理论与博弈论,量化了技术风险、商业风险和突发风险等不确定性,在经过了信息披露过程之后,分析了市场中企业自身和竞争者的投资决策,建立相应的研发项目投资决策数学模型,对企业的研发项目投资时机和决策收益进行评估,通过博弈得到纳什均衡下的企业最优投资决策。

关键词: 投资决策收益, 最优决策, 实物期权, 博弈, 研发项目, 风险

Abstract: R&D projects represent the core competitiveness of the high-tech enterprises, and there are a variety of risks in investment and research process. In order to keep competitive advantages and maximize the benefits, it needs to be very accurate in valuation of the projects for the optimal investment decisions in the competition before investment. By utilizing the European option value and game theory, quantified technical risk, economic risk and sudden risks, and combined with the jump-diffusion process and information revelation process, after analyzing investment decisions of enterprises themselves and competitors in the market, this paper establishes the corresponding R&D projects investment decision payoff mathematics model which can assess the timing and payoffs of the investment for two enterprises and obtain the optimal investment decisions after Nash equilibrium.

Key words: investment decision-making payoffs, optimal investment decisions, real options, game, R&, D projects, risks

中图分类号:

F224. 32

曹博洋,姜明辉. 多种风险下研发项目投资决策博弈分析[J]. 运筹与管理, 2015, 24(5): 66-74.

CAO Bo-yang, JIANG Ming-hui. R&D Project Investment Decision Game Analysis Under A Variety of Risks[J]. Operations Research and Management Science, 2015, 24(5): 66-74.

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多种风险下研发项目投资决策博弈分析

R&D Project Investment Decision Game Analysis Under A Variety of Risks

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