摘要
本文研究了存在新技术项目时R&D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R&D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.
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.
作者
陈树敏
曾燕
谷爱玲
CHEN Shumin;ZENG Yan;GU Ailing(School of Management,Guangdong University of Technology,Guangzhou 510520,China;Lingnan(University) College,Sun Yat-sen University,Guangzhou 510275,China;School of Applied Mathematics,Guangdong University of Technology,Guangzhou 510520,China)
出处
《系统工程理论与实践》
EI
CSSCI
CSCD
北大核心
2019年第6期1394-1406,共13页
Systems Engineering-Theory & Practice
基金
国家自然科学基金(71671047,71571195)
广东省高等学校珠江学者岗位计划(2018)
广东省自然科学基金(2015A030306040)~~
关键词
R&D企业
技术投资
分红策略
对偶模型
随机控制
R&D firm
technology investment
dividend strategy
dual risk model
stochastic control
