多种风险下研发项目投资决策博弈分析

R&D Project Investment Decision Game Analysis Under A Variety of Risks

研发项目代表了高新技术企业的核心竞争力,但是其投资和研发的过程所包含的多种风险可能会造成企业经济上的损失。为了保证竞争优势和收益最大化,企业投资前需要对项目的估值非常的精确,以便在竞争中做出最优投资决策。本文以市场中的两个竞争性企业为例,利用欧式复合期权理论与博弈论,量化了技术风险、商业风险和突发风险等不确定性,在经过了信息披露过程之后,分析了市场中企业自身和竞争者的投资决策,建立相应的研发项目投资决策数学模型,对企业的研发项目投资时机和决策收益进行评估,通过博弈得到纳什均衡下的企业最优投资决策。

R＆D projects represent the core competitiveness of the high-tech enterprises, and there are a variety of risks in investment and research process. In order to keep competitive advantages and maximize the benefits, it needs to be very accurate in valuation of the projects for the optimal investment decisions in the competition before investment. By utilizing the European option value and game theory, quantified technical risk, economic risk and sudden risks, and combined with the jump-diffusion process and i.nformation revelation process, after analyzing investment decisions of enterprises themselves and competitors in the market, this paper establishes the corresponding R＆D projects investment decision payoff mathematics model which can assess the timing and payoffs of the investment for two enterprises and obtain the optimal investment decisions after Nash equilibrium.