R&D企业最优技术投资与分红策略研究

本文研究了存在新技术项目时RD企业的最优技术投资与分红策略.假定企业流动资金变化由对偶风险模型描述,企业破产时存在清算价值,目标是最大化破产前的累计红利现值与清算价值现值之和.运用混合奇异控制-最优停时方法,当企业的每笔收益服从指数分布时本文得到RD企业的最优投资与分红策略及最优值函数的解析表达式.最后,我们分析了模型参数对企业最优投资与分红策略的影响,并用效用无偏差理论分析了新技术项目的价值.

Optimal technology investment-dividend strategy for a R&D firm

This paper considers the optimal technology investment-dividend strategy for a R&D firm in the presence of new technology investment. Supposing that the firm's capital reserve follows a dual risk model and that the firm has a liquidation value when it declares bankruptcy, our objective is to maximize the expected present value of cumulate dividend payments plus liquidation value. Using the theories of mixed singular control and optimal stopping, we explicitly obtain the firm's optimal technology investment-dividend strategy and the optimal value function when its profits are exponentially distributed. Finally, we analyze the effect of model parameters on the firm's optimal strategy and provide some economic insights.