企业自主研发与合作创新的风险测度及组合优化
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摘要
企业在整合内部创新要素进行自主研发的同时,也会寻求外部创新资源进行合作创新,当前同时从事多个R&D项目已成为常见的企业经营活动,如何在不确定条件下分析多个R&D项目投资的策略选择及风险优化,对于企业的长期发展具有重要意义。根据企业是否采取合作创新策略,可将其R&D项目分为自主研发与合作创新两类,以项目的研发成功率和投资收益率代表技术风险和市场风险,分别测度自主研发与合作创新项目的风险特性,并在此基础上构建企业R&D项目投资组合优化模型,以在自主研发与合作创新项目之间进行权衡取舍。结果表明,企业对于自主研发与合作创新项目投资组合的最优投资权重,主要取决于这两类组合的期望收益率、收益率方差、期望成功率以及两组合之间的协方差。企业可基于关键参数制定出最优的R&D项目投资组合选择策略,合理分配资金以达到风险最小化的投资目标。
When they conduct independent development by integrating internal innovation elements, enterprises seek external innovation resources for cooperative innovation. Nowadays, being simultaneously engaged in multiple R&D projects has become a common business activity, and it's significant for the long-term development of enterprise to analyze the strategy selection and risk optimization of multiple R&D projects under the condition of uncertainty. According to whether the enterprise takes cooperative innovation strategy, its R&D projects can be divided into two types of independent development and cooperative innovation. We take projects' success rate and investment rate to represent technical risk and market risk, respectively measure the risk characteristics of independent development and cooperative innovation projects, and build the R&D project portfolio optimization model, thus striking a balance between independent development and cooperative innovation. The results show that, the optimal investment weights of independent development and cooperative innovation project portfolios mainly depend on their expected return rate, variance, expected success rate and covariance. The enterprise can work out an optimal strategy of R&D project portfolio based on the key parameters, and achieve the investment objective of risk minimization by allocating funds reasonably.
When they conduct independent development by integrating internal innovation elements, enterprises seek external innovation resources for cooperative innovation. Nowadays, being simultaneously engaged in multiple R&D projects has become a common business activity, and it's significant for the long-term development of enterprise to analyze the strategy selection and risk optimization of multiple R&D projects under the condition of uncertainty. According to whether the enterprise takes cooperative innovation strategy, its R&D projects can be divided into two types of independent development and cooperative innovation. We take projects' success rate and investment rate to represent technical risk and market risk, respectively measure the risk characteristics of independent development and cooperative innovation projects, and build the R&D project portfolio optimization model, thus striking a balance between independent development and cooperative innovation. The results show that, the optimal investment weights of independent development and cooperative innovation project portfolios mainly depend on their expected return rate, variance, expected success rate and covariance. The enterprise can work out an optimal strategy of R&D project portfolio based on the key parameters, and achieve the investment objective of risk minimization by allocating funds reasonably.
引文
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[2] Lee C,Lee K,Pennings J M.Internal capabilities,external networks,and performance:a study on technology-based ventures[J].Strategic Management Journal,2001,22(6-7):615- 640.
[3] 原毅军,于长宏.产学研合作与企业内部研发:互补还是替代?——关于企业技术能力“门限”效应的分析[J].科学学研究,2012,30(12):1862-1870.
[4] 陈劲主编.研发项目管理[M].北京:机械工业出版社,2004.
[5] Boer F P.Risk-adjusted valuation of R&D projects[J].Research-Technology Management,2003,46(5):50-58.
[6] Lin B W,Chen J S.Corporate technology portfolios and R&D performance measures:a study of technology intensive firms[J].R&D Management,2005,35(2):157-170.
[7] Luo L M,Sheu H J,Hu Y P.Evaluating R&D projects with hedging behavior[J].Research-Technology Management,2008,51(6):51-57.
[8] Linton J D,Walsh S T,Morabito J.Analysis,ranking and selection of R&D projects in a portfolio[J].R & D Management,2002,32(2):139-148.
[9] Lin B W,Chen J S.Corporate technology portfolios and R&D performance measures:a study of technology intensive firms[J].R & D Management,2005,35(2):157-170.
[10] Chien C.A portfolio-evaluation framework for selecting R&D projects[J].R & D Management,2002,32(4):359-368.
[11] 刘亚旭,汪应洛.具有不对称风险交互效应的R&D项目组合选择方法[J].系统工程,2007,25(2):18-21.
[12] 杜先进,孙树栋,司书宾,等.不确定条件下多目标R&D项目组合选择优化[J].系统工程理论与实践,2008,28(2):98-104.
[13] 任嵘嵘,祝丹梅.R&D项目组合选择的决策分析与思考——基于模糊集理论和启发调度视角[J].科学学研究,2009,27(10):1518-1522.
[14] Guo P,Liang J J,Zhu Y M,et al.R&D project portfolio selection model analysis within project interdependencies context[C]// IEEE International Conference on Industrial Engineering and Engineering Management.IEEE,2009.994-998.
[15] 杨颖,杨善林,马英,等.改进的基于多依赖性的R&D项目组合选择模型[J].系统工程学报,2011,26(6):834- 841.
[16] Luo L M.Optimal diversification for R&D project portfolios[J].Scientometrics,2012,91(1):219-229.
[17] 陈蓉,梁昌勇,叶春森.考虑学习效应的新产品R&D项目组合调度模型研究[J].管理工程学报,2016,(2):101-107.
[18] 王景玫,郭鹏,赵静.R&D项目组合鲁棒性风险测度及选择模型研究[J].运筹与管理,2017,(6):140-148.
[19] Markowitz H M.Portfolio selection[J].The Journal of Finance March,1952.77-91.
[20] 薛宏刚,张川,胡春萍,等.考虑大宗交易的均值-方差投资组合优化模型及其分支定界算法[J].系统工程理论与实践,2011,31(9):1617-1627.
[21] 郝静,张鹏.具有基数约束的多阶段均值-方差投资组合优化[J].中国科学技术大学学报,2016,2:156-164.