基于最优停时理论的创业投资退出决策模型研究

Research on Exit Decision Model of Venture Capital Based on Optimal Stopping Time

创业投资的退出是创业投资运作过程中最关键的环节,对创业投资退出问题的研究是创业投资理论的关注重点。论文以研究创业投资不同退出方式的价值为对象,基于创业投资项目产生的现金流遵循几何布朗运动假设的基础上,分析了创业投资项目采取立即退出的价值和继续维持以获取最优退出方式的价值,以最优停时理论为建模依据,比较这两种情况的价值构建了创业投资退出时机的一般模型。在分析不同退出方式产生的退出损益基础上,结合一般模型构建了最优退出方式和最优退出时机相结合的退出决策模型。论文提出了一个分析创业投资退出决策的一般模型,并用该模型对一个实例进行模拟分析,以便验证模型的实用性。

Exit problem about venture capital is the most important one during the operation process of venture capital, and it is an important focus for researchers studying venture capital to study the exit problem. This article focusing on the venture capital exit problem as research object and analyzes the project value of diversified exit mode about venture capital. Based on the supposition that the cash flow of venture capital projects follows Brownian movement, this paper analyzes the project value of exiting at once and value of delaying exit. Meanwhile based on the Optimal Stopping Theory, this article establishes a routine model on exiting time of venture capital by comparing these two conditions. The paper then analyzes the income of diversified exit mode, and designs the special model of considering simultaneously exiting time decision and exiting mode decision based on the routine model. This paper gives out a routine model to analyze the exiting decision about venture capital, and introduces a simulating study to a case by using the model, in order to be convenient to testify the practicability of the model.