【作者】 孙艳梅；

【导师】 孙长雄；

【作者基本信息】 哈尔滨工业大学 ， 技术经济及管理， 2010， 博士

【摘要】 研究与开发(R&D)是企业获得核心竞争力的基础,是企业长期发展战略的重要组成部分。对R&D项目进行定量评价时,以净现值法为基础的传统投资决策方法忽略了投资项目的不确定性、投资时机的可延迟性、成本的不可逆性和竞争等许多重要因素,采取“要么现在投资,要么永远不投资”的刚性投资模式,使企业丧失许多宝贵的投资机会和成长空间。因此,在不确定的竞争环境下,科学地选择R&D投资时机成为企业R&D成功的关键。期权博弈理论不是对传统投资决策方法的否定,是在其基础上结合实物期权理论和博弈论,形成的新的科学决策方法。本文在传统投资决策理论的基础上,将实物期权理论与博弈论有机结合,应用实物期权理论评估R&D项目的期权价值,解决R&D投资的不可逆性、不确定性和灵活性问题,利用博弈论分析竞争者之间的交互作用,判断可能存在的均衡形式以及发生均衡的条件,构建R&D投资决策的期权博弈模型,确定企业R&D投资的最优时机和最优策略。对R&D投资决策的基本理论进行回顾和评述。分析传统R&D投资决策方法及其局限性,论述实物期权理论处理R&D投资过程中不确定性的优势,剖析R&D投资的期权特性和博弈特性。在此基础上,建立期权博弈理论在R&D投资决策中的应用框架,从企业的竞争地位和竞争者的战略反应两个角度,分析R&D投资策略选择模式以及R&D投资中的先动优势和劣势,识别R&D投资的不确定性及其对项目价值的影响,对不确定性进行数学描述,进一步从期权博弈的角度明确R&D投资项目价值构成,为构建期权博弈定价模型奠定理论基础。运用实物期权定价、动态规划和仿真方法,针对R&D投资时机和策略选择,构造市场不确定条件下和技术不确定条件下的R&D投资决策的期权博弈模型。在市场不确定条件下,考虑突发事件具有随机性以及参与R&D竞争的企业的不同质性,假定随机市场需求符合带跳的几何布朗运动,R&D初始投资成本和经营成本均不相同,构建不对称的双寡头垄断的连续期权博弈模型,得到跟随者、领先者、同时投资者的价值函数和投资临界点,分析突发事件和投资成本对投资临界点的影响,讨论三种均衡策略的发生形式和条件。分析表明:跟随者投资临界值对经营成本的变化更敏感,而领先者投资临界值对初始投资成本的变动更敏感;瞬时波动率和突发事件都能导致投资临界值的增加,但是对跟随者投资临界值的影响更显著;企业最优投资均衡策略取决于竞争双方的成本差异和先动优势。在Weeds的技术不确定模型基础上,假设企业间R&D能力和投入成本均不对称,构建技术不确定条件下的期权博弈模型,得到跟随者、领先者和同时投资者的价值函数和投资临界值,重点分析企业自身R&D能力及竞争者的R&D能力对投资临界值的影响。结果表明:企业自身R&D能力的增强可以降低投资临界值,竞争对手R&D能力的增强将提高投资临界值,而且都是对跟随者投资临界值的影响更显著。对不对称双寡头垄断企业的投资策略进行分析,得到不同于前人的均衡结果,指出仍然可能存在序贯均衡,用数值释例和仿真方法验证序贯均衡的存在。更多还原

【Abstract】 For an enterprise, research and development (R&D) is the basis of its core competence, and also an important component of its long-term development strategy. In the quantitative assessment of R&D projects, conventional means of investment decision making, generally based on net present value, neglects some significant factors, including the uncertainty of investment projects, the allowable delay of vestment time, the non-reversible of costs, and competitive. Such problems result in hard-mode strategy of investment, which always is“now or never”. This will give rise to lose of investment opportunities as well as room to grow. Thus, it is evident that scientific identification of investment time plays a key role in R&D activities on the condition of uncertain competitive environment. Option game theory is not a complete negation of conventional investment decision-making method, but a new scientific decision-making method combined with real option theory and game theory on its basis. In this paper, real option theory is incorporated with game theory on the basis of traditional investment decision making. In the assessment of R&D projects’option value with real option theory, the problems arising from non-reversible of costs, uncertainty, and flexibility are addressed. Moreover, by analyzing competitors’interactive with game theory, possible equilibrium formulates and conditions for these equilibriums are obtained and option game model of R&D investment decision-making is constructed, thereby determining optimized investment opportunities and strategies.This paper reviews and evaluates basic theories of R&D investment decision-making. Traditional means of R&D investment decision-making are analyzed with discussion of their limits. The advantages of real option theory in dealing with uncertainty in R&D investment decision-making are discussed, and the option feature and game feature in R&D investment are anatomized. On that basis, an application framework of option game theory in R&D investment decision-making is built, and from both angles of the enterprise’s competitive status and the competitor’s strategy, R&D investment strategy-selecting mode and first-mover advantages and disadvantages are analyzed. The uncertainties, as well as their impact on project value, are identified, with mathematical description, so that R&D investment project value structure is further ascertained from the perspective of option games, to form a solid theoretical foundation for option game price fixing model.With real option price fixing theory, dynamic planning and simulation, aiming at R&D investment timing and strategy, an option-game model of R&D investment decision-making under the condition of market uncertainty and technical uncertainty is constructed. Under the uncertainty of market, considering the randomness of unexpected events and various kinds of enterprises involved in the R&D competition, on the assumption that random market demand is in line with the geometric Brownian motion and the original investment costs are different, an asymmetric, duopoly-monopoly, and continuous game-option model is established to gain the value functions and investment thresholds of corporations as followers, leaders, and investors, respectively. The impact on investment threshold imposed by unexpected events and investment cost is analyzed, and the occurrence forms and conditions of the three equilibrium strategies are discussed. The analysis shows that the investment threshold of followers is highly sensitive to the variation of operation cost, whereas that of leaders is highly sensitive to original investment cost; though instantaneous fluctuation rates and unexpected events result in the rise of investment threshold, they impose a larger impact on those of followers; the optimized R&D investment strategy relied on cost differences and initiatives of distinguished enterprises.According to Weeds’model concerning technical uncertainty, the option-game model on condition of technical uncertainty is constructed on the assumption that enterprises’R&D capabilities are asymmetric, as well as their investment costs, achieving the value functions and investment thresholds of corporations, as followers, leaders, and investors, respectively. The following analysis focuses on the impact of enterprises’own R&D capacity and competitors’capability on the value of investment threshold. And the result demonstrates that the rise of own capability contributes to drop of threshold, while the rise of competitors gives rise to increase of threshold. Both of them play a large impact on threshold of followers. The analysis of investment strategies related to asymmetric duopoly-monopoly enterprises gives rise to an equilibrium result different from that gained in traditional research, indicating possible existence of sequential equilibrium investment. This possibility is further verified by means of numerical explanation and simulation.更多还原