技术和价格不确定下企业研发投资决策研究

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.

Research on R&D investment decision making under uncertainty of technology and price

With the rapid development of science and technology, research and development (R&D) is an important activity for the survival and development of enterprises. There are two kinds of risks in the enterprise R&D investment projects, they are the technology risk which can not be hedged, and the price risk, which is due to the uncertainty of price and demand when the R&D products are put into the market, while the price risk can be partially hedged. Considering an R&D innovation enterprise, how to carry out investment and consumption problems. By establishing the utility maximization model, and using the methods of stochastic optimal control, the optimal strategy for the exponential utility function can be obtained, and this paper also expounds the R&D value and its investment/termination threshold. Numerical results show that the greater technical risk will produce the greater value of information generation, which making the total value of R&D is not reduced but increased; Risk aversion has a significant impact on R&D value and R&D/termination threshold; Due to the existence of the value of R&D information generation, the R&D/termination threshold is different from the threshold which makes the traditional net present value (NPV) equal to zero.