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| 不完全信息条件下企业R&D 最优投资时机的期权博弈分析 | |
| 引用本文： | 吴建祖,宣慧玉. 不完全信息条件下企业R&D 最优投资时机的期权博弈分析[J]. 系统工程理论与实践, 2006, 26(4): 50-54. DOI: 10.12011/1000-6788(2006)4-50 |
| 作者姓名： | 吴建祖 宣慧玉 |
| 作者单位： | 西安交通大学管理学院 陕西西安710049 |
| 摘 要： | 运用实物期权与博弈论相结合的方法,研究在不确定的竞争环境和不完全信息条件下企业R&D投资的最优时机.通过假设企业不知道竞争对手的抢先投资临界值但知道其概率分布引入不完全信息.研究表明,不完全信息减缓了竞争对企业R&D投资等待期权价值的侵蚀,从而延缓了企业的R&D投资.企业R&D投资的最优时机取决于企业对竞争对手抢先投资危险率的推测,危险率越高,投资越早. |
| 关 键 词： | 最优时机 不完全信息 期权博弈 研究与开发 危险率 |
| 文章编号： | 1000-6788(2006)04-0050-05 |
| 修稿时间： | 2005-04-13 |
Analyzing Optimal Timing of Firm''''s R&D Investment under Incomplete Information in a Real Options and Game-theoretic Framework |
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| WU Jian-zu,XUAN Hui-yu. Analyzing Optimal Timing of Firm''''s R&D Investment under Incomplete Information in a Real Options and Game-theoretic Framework[J]. Systems Engineering —Theory & Practice, 2006, 26(4): 50-54. DOI: 10.12011/1000-6788(2006)4-50 | |
| Authors: | WU Jian-zu XUAN Hui-yu |
| Abstract: | This paper examines the optimal timing of firm's R&D investment under uncertainty in a real options and game-theoretic framework.We incorporate incomplete information into the model by assuming that a firm does not know rival's investment threshold but know its distribution.We find that incomplete information restrains the competition from undermining the waiting option value and delays the firm's R&D investment.The optimal timing of firm's R&D investment is determined by its conjecture about rival's hazard rate: the more the hazard rate is,the earlier the firm invests. |
| Keywords: | optimal timing incomplete information option game R&D hazard rate |
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