基于实物期权的两阶段R&D项目投资决策模型
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摘要
研究与开发(R&D)是企业经营和管理的重要内容,是现代企业尤其是高科技企业建立和保持竞争优势的重要保证。所以如何在不确定条件下做出研发项目投资策略,是目前企业技术管理领域一个核心课题,在理论和实践上都引起广泛关注。通常的项目评估中对企业能力没有限制,而现实中的企业有诸多限制因素,如资金、原材料、生产能力等。本文在市场需求不确定的条件下,考虑到R&D项目存在资金限制和商业化阶段存在价格竞争等因素,本文结合实物期权方法和动态规划方法研究了两个两阶段R&D项目投资决策模型。
其一,考虑到企业用于R&D项目的资金是有限的。研发阶段资金的投入量不仅决定研发成功的概率,还影响商业化阶段的边际成本以及企业的生产容量。投资者必须在研发阶段和商业化生产阶段合理配置资金,以达到项目价值的最大化。本文不仅给出了最优投资策略,而且通过数值分析发现:市场需求现值较大时,研发阶段资金投资量会增加;市场波动率较大时,不仅项目价值较大,而且研发投资量会有所增加。
其二,将产业组织理论的价格竞争引入R&D项目。进入者研发成功后,获得一个生产能力有限的商业化期权。在商业化阶段,他将和在位者进行价格竞争,获得均衡下的商业利润。由于每个阶段进入是柔性的,所以存在期权价值。文章通过实物期权逻辑推理得出进入研发阶段和商业化阶段的最优策略,并在章节最后给出了算例。
It is essential for firms to do research and development which ensures the firm obtaining and keeping competition advantage. Therefore, the R&D project’s evaluation is very important. Then how to make Research and Development (R&D) decision under uncertainty is a very essential problem in the practice and theory of management. Usually, the evaluation of project has no restrictions on enterprise’s capacity, that isn’t true in reality, because the enterprise may have many factors, such as capital, raw materials, production capacity, and so on. Taking into account the possibility of Capital constrain and Price competition in commercialization stage, in this paper we introduce Real Options and Dynamic programming to analyze two two-period R&D project investment models which based on the uncertainty of market demanding conditions.
In the first model, we assume the capital of the enterprise is limited. The input of the capital in R&D stage not only has effects on the probability of success of R&D, but also has effects on the marginal cost of new production and the production capacity of the enterprise. To achieve the maximum value of the project, the firm must distribute its capital rationally between the R&D stage and commercialization stage. The optimal investment strategy was given in this paper, and through the numerical analysis we found: when the more demand of the product market, the more Input of capital in the R&D stage; and as the volatility of demand of production market grows, the value of the project and Input of capital in the R&D stage both will increase.
In the second model, we introduce the price competition, which belongs to Industrial Organization Theory, into R&D project. After the success of research and development, the investor gets an option accessing to commercialization stage, in which the yield of the enterprise is limited. Because of the access to every stage is flexible, there exists real options. Through real options logical reasoning, this paper made the decision of what time the follower enters into R&D stage and commercialization stage. At last we give an arithmetical example.
其一,考虑到企业用于R&D项目的资金是有限的。研发阶段资金的投入量不仅决定研发成功的概率,还影响商业化阶段的边际成本以及企业的生产容量。投资者必须在研发阶段和商业化生产阶段合理配置资金,以达到项目价值的最大化。本文不仅给出了最优投资策略,而且通过数值分析发现:市场需求现值较大时,研发阶段资金投资量会增加;市场波动率较大时,不仅项目价值较大,而且研发投资量会有所增加。
其二,将产业组织理论的价格竞争引入R&D项目。进入者研发成功后,获得一个生产能力有限的商业化期权。在商业化阶段,他将和在位者进行价格竞争,获得均衡下的商业利润。由于每个阶段进入是柔性的,所以存在期权价值。文章通过实物期权逻辑推理得出进入研发阶段和商业化阶段的最优策略,并在章节最后给出了算例。
It is essential for firms to do research and development which ensures the firm obtaining and keeping competition advantage. Therefore, the R&D project’s evaluation is very important. Then how to make Research and Development (R&D) decision under uncertainty is a very essential problem in the practice and theory of management. Usually, the evaluation of project has no restrictions on enterprise’s capacity, that isn’t true in reality, because the enterprise may have many factors, such as capital, raw materials, production capacity, and so on. Taking into account the possibility of Capital constrain and Price competition in commercialization stage, in this paper we introduce Real Options and Dynamic programming to analyze two two-period R&D project investment models which based on the uncertainty of market demanding conditions.
In the first model, we assume the capital of the enterprise is limited. The input of the capital in R&D stage not only has effects on the probability of success of R&D, but also has effects on the marginal cost of new production and the production capacity of the enterprise. To achieve the maximum value of the project, the firm must distribute its capital rationally between the R&D stage and commercialization stage. The optimal investment strategy was given in this paper, and through the numerical analysis we found: when the more demand of the product market, the more Input of capital in the R&D stage; and as the volatility of demand of production market grows, the value of the project and Input of capital in the R&D stage both will increase.
In the second model, we introduce the price competition, which belongs to Industrial Organization Theory, into R&D project. After the success of research and development, the investor gets an option accessing to commercialization stage, in which the yield of the enterprise is limited. Because of the access to every stage is flexible, there exists real options. Through real options logical reasoning, this paper made the decision of what time the follower enters into R&D stage and commercialization stage. At last we give an arithmetical example.
引文
[1]郑德渊,李湛.R&D项目评价的实物期权方法,技术经济与管理研究,2000(5) :40～41.
[2]沈厚才,王文平,黄凯.基于期权定价理论的R&D投资决策思想,科研管理,1998,19 (4):45～49
[3] Brennan M, Schwartz.Evaluation natural resource investment J. Journal of Business,1985,58(2):135～157
[4] Dixit, A.K. and Pindyck, R.S. Investment Under Uncertainty. 1994. NJ: Princeton University Press.
[5] Dangl Thomas. Investment and capacity choice under uncertain demand J. European Journal of Operational Research,1999,117:415～428
[6] Pennings E, Lint O. Market entry, phased rollout or abandonment? A real option approach J. European Journal of Operational Research, 2000, 124:115～138
[7] Bruun , Soren and Peter Bason. Literature on Real Option in Venture Capital and R &D :A Review[Z] ,2001
[8] Pawlina, G. Corporate Investment under Uncertainty and Competition: A Real Options Approach [Paper for Doctor’s Diploma in Economics], Tilburg University, April 2003
[9] Ottoo Richard. Valuation of internal growth opportunities: The case of a biotechnology company J. The Quarterly Review of Economics and Finance, 1998, Special issue , 38:537～567
[10] Kulatilaka, N. and Perotti, E. C. Time-to-Market Capability as a Stackelberg Growth Option. Working paper, Boston University, 1999
[11] Weeds, H. Strategic Delay in a Real Option Model of R&D Competition. Warwick Economic Research Papers, No 576. 2000; also see :Review of Economic Studies, 2002,69(3): 1461~1480
[12] Huisman,K. J.M, Kort, P.M., Pawlina, G et al. Strategic Investment under Uncertainty: Merging Real Options with Game Theory. Working paper, Tilburg University, June 2003
[13]范龙振.经营柔性与投资决策.预测,1998,(3):66～68
[14]戴和忠.现实期权在R&D项目评价中的应用.科学管理研究,2000,(3)61～63
[15]郑德渊,李湛. R&D项目评价的实物期权方法.技术经济与管理研究,2000,(5):40～41
[16]易江,李楚霖.寡头厂商的研发决策分析.华中科技大学学报(自然科学版)2002,30(4): 75～77
[17]薛明皋,李楚霖.具有不确定性的R&D项目退出策略.华中科技大学学报(自然科学版),2002,30(9)
[18]杨明.有潜在竞争者的R&D项目策略分析.数量经济与技术经济研究, 2002(10)
[19]杨明.青岛大学学报.自然科学版(Journal of Qingdao University) ISSN:1006-1037,2004,17(3):70～77
[20]刘志欣,范欣,何玉荣.期权法在R&D项目决策中的应用.[J]科学管理研究,2000, 18 (5) : 2526
[21]唐振鹏.基于期权博弈理论的企业技术创新投资决策研究:[博士学位论文].武汉:武汉理工大学2003
[22] Haomas Dangl. Investment and capacity choice under uncertain demand,. European Journal of Operation Research,1999, 117(3), 415～423
[23] Manne, A.S. Capacity Expansion and Probabilistic Growth. Econometrica. 1961,29 (4): 632～649
[24] Luss,H. Operations Research and Capacity Expansion Problems: A Survey. Operations Reseach, 1982, 30(5): 907～947
[25] Higle, J. L, and Con-ado, C. Economic investment times for capacity expansion problems. European Journal of Operational Research, 1992, 59: 288～293
[26] Abel, A.B., et al. Options, the value of capital, and investment. The Quarterly Journal of Economics, 1996, 8: 753～775
[27] Bean, J.C., Higle; J.L., and Smith, R.,L. Capacity expansion under stochastic demands. Operations Research, 1992,40(2): 210～216
[28] Pindyck, R.S. Irreversible Investment, Capacity Choice, and the Value of the Firm. The American Economic Review, 1998, 78 (5): 969～985
[29] Pindyck, R.S. Irreversibility, Uncertainty, and Investment. Journal of Economic Literature, 1991, 29: 1110～1148
[30] Black, Fisher, and Myron Scholes. The pricing of options and corporate liabilities. Journal of Political Economy, 1973,81: 637～654
[31] Dixit, A. Irreversible investment with uncertainty and scale economies. Journal of Economic Dynamics and Control,1995,19: 327～350
[32] Abel, A.B., and Eberly, J.C. A Unified Model of Investment Under Uncertainty. The American Economic Review, 1994,84 (5): 1369～138
[33] Kreps D M, Scheinkman J A. Quantity precommitment and bertrand competition yield coumot outcome [j].Bel Journal of Economics, 1983, 14(2):326～337
[34] J.梯若尔.产业组织理论[M].北京:中国人民大学出版社, 1997. Tirole J. The Theory of Industrial Organization [M].Cambridge Mass: MIT Press, 1997.
[35] Hertzendorf M N, Overgaard P B. Price competition and advertising signals: Signaling by competing senders [J].Journal of Economics&Management Strategy, 2001,10(4):621～662
[36] Bain J. Barriers to New Competition [M].Cambridge, Mass: Harvard University Press, 1956
[37] Spence A M. Entry, capacity, investment and oligopolistic pricing [J].Bel Journal of Economics, 1977, 8(3):534～544
[38] Dixit A K. The role of investment in entry deterrence [J].Economic Journal, 1980, 90(1):95～106
[39] Milgrom P, Robert J. Limit pricing and entry under incomplete information: An equilibrium analysis [J].Econometrics, 1982, 50(1):443～460.
[40] Dixit A K, Pindyck R S. Investment under Uncertainty [M].Princeton: Princeton University Press, 1994.
[41] Van Mieghem J A. Investment for flexible resource [J].Management Science, 1998, 44(8):1071～1078.
[42] Pancheco-De-Almeida G, Zemsky P.The effect of time-to-build on strategic investment under uncertainty [J]. RAND Journal of Economics,2003,34(1): 166～182.
[2]沈厚才,王文平,黄凯.基于期权定价理论的R&D投资决策思想,科研管理,1998,19 (4):45～49
[3] Brennan M, Schwartz.Evaluation natural resource investment J. Journal of Business,1985,58(2):135～157
[4] Dixit, A.K. and Pindyck, R.S. Investment Under Uncertainty. 1994. NJ: Princeton University Press.
[5] Dangl Thomas. Investment and capacity choice under uncertain demand J. European Journal of Operational Research,1999,117:415～428
[6] Pennings E, Lint O. Market entry, phased rollout or abandonment? A real option approach J. European Journal of Operational Research, 2000, 124:115～138
[7] Bruun , Soren and Peter Bason. Literature on Real Option in Venture Capital and R &D :A Review[Z] ,2001
[8] Pawlina, G. Corporate Investment under Uncertainty and Competition: A Real Options Approach [Paper for Doctor’s Diploma in Economics], Tilburg University, April 2003
[9] Ottoo Richard. Valuation of internal growth opportunities: The case of a biotechnology company J. The Quarterly Review of Economics and Finance, 1998, Special issue , 38:537～567
[10] Kulatilaka, N. and Perotti, E. C. Time-to-Market Capability as a Stackelberg Growth Option. Working paper, Boston University, 1999
[11] Weeds, H. Strategic Delay in a Real Option Model of R&D Competition. Warwick Economic Research Papers, No 576. 2000; also see :Review of Economic Studies, 2002,69(3): 1461~1480
[12] Huisman,K. J.M, Kort, P.M., Pawlina, G et al. Strategic Investment under Uncertainty: Merging Real Options with Game Theory. Working paper, Tilburg University, June 2003
[13]范龙振.经营柔性与投资决策.预测,1998,(3):66～68
[14]戴和忠.现实期权在R&D项目评价中的应用.科学管理研究,2000,(3)61～63
[15]郑德渊,李湛. R&D项目评价的实物期权方法.技术经济与管理研究,2000,(5):40～41
[16]易江,李楚霖.寡头厂商的研发决策分析.华中科技大学学报(自然科学版)2002,30(4): 75～77
[17]薛明皋,李楚霖.具有不确定性的R&D项目退出策略.华中科技大学学报(自然科学版),2002,30(9)
[18]杨明.有潜在竞争者的R&D项目策略分析.数量经济与技术经济研究, 2002(10)
[19]杨明.青岛大学学报.自然科学版(Journal of Qingdao University) ISSN:1006-1037,2004,17(3):70～77
[20]刘志欣,范欣,何玉荣.期权法在R&D项目决策中的应用.[J]科学管理研究,2000, 18 (5) : 2526
[21]唐振鹏.基于期权博弈理论的企业技术创新投资决策研究:[博士学位论文].武汉:武汉理工大学2003
[22] Haomas Dangl. Investment and capacity choice under uncertain demand,. European Journal of Operation Research,1999, 117(3), 415～423
[23] Manne, A.S. Capacity Expansion and Probabilistic Growth. Econometrica. 1961,29 (4): 632～649
[24] Luss,H. Operations Research and Capacity Expansion Problems: A Survey. Operations Reseach, 1982, 30(5): 907～947
[25] Higle, J. L, and Con-ado, C. Economic investment times for capacity expansion problems. European Journal of Operational Research, 1992, 59: 288～293
[26] Abel, A.B., et al. Options, the value of capital, and investment. The Quarterly Journal of Economics, 1996, 8: 753～775
[27] Bean, J.C., Higle; J.L., and Smith, R.,L. Capacity expansion under stochastic demands. Operations Research, 1992,40(2): 210～216
[28] Pindyck, R.S. Irreversible Investment, Capacity Choice, and the Value of the Firm. The American Economic Review, 1998, 78 (5): 969～985
[29] Pindyck, R.S. Irreversibility, Uncertainty, and Investment. Journal of Economic Literature, 1991, 29: 1110～1148
[30] Black, Fisher, and Myron Scholes. The pricing of options and corporate liabilities. Journal of Political Economy, 1973,81: 637～654
[31] Dixit, A. Irreversible investment with uncertainty and scale economies. Journal of Economic Dynamics and Control,1995,19: 327～350
[32] Abel, A.B., and Eberly, J.C. A Unified Model of Investment Under Uncertainty. The American Economic Review, 1994,84 (5): 1369～138
[33] Kreps D M, Scheinkman J A. Quantity precommitment and bertrand competition yield coumot outcome [j].Bel Journal of Economics, 1983, 14(2):326～337
[34] J.梯若尔.产业组织理论[M].北京:中国人民大学出版社, 1997. Tirole J. The Theory of Industrial Organization [M].Cambridge Mass: MIT Press, 1997.
[35] Hertzendorf M N, Overgaard P B. Price competition and advertising signals: Signaling by competing senders [J].Journal of Economics&Management Strategy, 2001,10(4):621～662
[36] Bain J. Barriers to New Competition [M].Cambridge, Mass: Harvard University Press, 1956
[37] Spence A M. Entry, capacity, investment and oligopolistic pricing [J].Bel Journal of Economics, 1977, 8(3):534～544
[38] Dixit A K. The role of investment in entry deterrence [J].Economic Journal, 1980, 90(1):95～106
[39] Milgrom P, Robert J. Limit pricing and entry under incomplete information: An equilibrium analysis [J].Econometrics, 1982, 50(1):443～460.
[40] Dixit A K, Pindyck R S. Investment under Uncertainty [M].Princeton: Princeton University Press, 1994.
[41] Van Mieghem J A. Investment for flexible resource [J].Management Science, 1998, 44(8):1071～1078.
[42] Pancheco-De-Almeida G, Zemsky P.The effect of time-to-build on strategic investment under uncertainty [J]. RAND Journal of Economics,2003,34(1): 166～182.