模糊环境下的企业技术创新投资决策研究
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摘要
在企业技术创新过程中,企业面临着技术与市场的不确定性,技术创新投资的成本(部分的或完全的)是不可逆的,企业的决策必须具有柔性,而传统的以贴现现金流技术为基础的投资决策方法应用非常有限。所以,技术创新发展所表现出来的新特点迫切需要有一种科学合理的管理方法来指导,而实物期权理论的出现恰恰为这一问题的解决提供了方便。从技术创新的期权特征出发,合理借鉴实物期权理论,建立一套技术创新的期权管理方法体系不但是技术创新管理实践的需要,也是技术创新管理理论研究的有益尝试。技术创新的期权特征表明,建立这样一套方法是合理和可行的。此外,实物期权定价模型的存在和发展所依赖的社会环境具有不确定性、复杂性和模糊性。模糊理论的研究为实物期权定价理论提供了新的理论依据,将模糊理论应用于实物期权定价是对传统实物期权定价方法的有益和必要的补充。因此,本研究定位于模糊环境下企业技术创新投资决策的实物期权分析,具有一定的理论意义和现实意义。
本文以模糊环境下的企业技术创新投资决策为研究对象,运用模糊理论、博弈论、数学优化、实物期权等研究方法,建构了模糊环境下企业技术创新投资决策的几个重要模型,重点讨论了模糊环境下的价值评估、定价决策、多阶段动态决策、联盟期权以及博弈期权价值决策等对企业技术创新投资决策的影响以及模糊环境下的企业技术创新投资决策模型的建构,旨在深入探讨企业技术创新投资决策的维度结构及其决策机制。
本文着重在以下八个方面开展研究工作:①绪论论述了研究的意义和研究的基本思路和框架。②回顾了技术创新、实物期权理论及模糊理论发展概况及其评价。③对模糊环境下的企业技术创新投资项目的价值评估决策进行研究。④研究模糊环境下的企业技术创新投资的定价决策模型。⑤研究模糊环境下的企业技术创新投资动态决策问题。⑥对模糊环境下的企业技术创新联盟的期权价值决策进行研究。⑦对模糊环境下的技术创新投资决策的期权博弈决策进行研究。⑧对全文进行总结展望。
论文在介绍研究背景与意义、基本思路和框架、特色与创新以及相关理论研究综述的基础上,对模糊环境下的企业技术创新投资决策进行了研究,得到了如下创新性结论:
①运用模糊理论分析企业技术创新项目投资的不确定性、模糊性和不可逆性,建立了模糊环境下的技术创新项目的价值评估模型,从建模的情况来看,投资机会的价值也即相应期权的价值受到多个因素的影响,由于该模型考虑了模糊环境下主客观条件所限的实际情况(如战争、公司破产、企业的历史数据丢失等),从更一般意义上讨论了该问题,也得出了基于模糊环境投资机会的净现值流计算公式,这一公式为我们在模糊环境下进行项目评估提供了重要依据。
②克服了数据信息不足和企业技术创新项目投资的模糊性引起的无法准确预测模型参数问题,用梯形模糊数表示项目未来的预期收益和投资成本,建立了单个和复合期权的模糊实物期权定价模型。
③建立了模糊环境下基于动态规划的企业技术创新项目多阶段决策模型,在其每个阶段决策者都面临继续、改进和放弃三种决策选择时分析了模糊环境下不确定因素的变化对企业技术创新项目投资的柔性管理价值的影响。
④在模糊环境下运用实物期权研究了企业技术创新契约型联盟的灵活性期权价值模型,并对模糊环境下技术创新紧密型联盟契约和松散型联盟契约的期权价值做了模型分析。分析结果表明,模糊环境下技术创新契约型联盟的灵活性期权价值模型是一种重要的联盟定价方式,在一定的范围内当有关战略投资随机变量的波动率或不确定性较大时应选择较灵活的松散型契约联盟,反之则选择紧密型联盟。通过对技术创新契约型联盟合作协议的模糊期权分析,为正确合理地确定技术创新产品的购销价格、违约责任以及合理地设计合同条款等提供了有力保障。
⑤在投资沉没成本为梯形模糊数的情况下分析了企业技术创新投资决策的对策或不对称双头垄断模型,得出了模糊环境下追随者、领导者的投资价值及其投资临界值的模糊表达式。通过数值分析,发现在模糊环境下仍存在最优投资策略。
In the process of technological innovation, traditional discounted cash flow techniques are not fit for investment decision-making, for enterprises are facing the uncertainty of technical and market, the investment cost is (partially or completely) irreversible, so corporate decision-making must be flexible. And technology innovation has developed a new feature which need a scientific and reasonable management approach, while the real option provides a convenient. It is not only a useful attempt to establish a framework of technology innovation management with the new option feature and theory, but also reasonable and feasible. Moreover, social environment which real option pricing model relied on is uncertainty, complexity and ambiguity. So the study of fuzzy real option pricing theory provide a new theoretical basis and also being a useful and necessary complement to traditional real option pricing methods. Therefore, this study analysis fuzzy real option of Enterprise Technology Innovation Investment Decision has certain theoretical and practical significance.
In this paper, we take the Enterprise Technology Innovation Investment Decision under fuzzy environment as research subject, use fuzzy theory, game theory, mathematical optimization and real options methods to construct a model, discuss the effect of those model on Investment Decision, aim to deeply discuss the dimension structure and decision model of Enterprise Technology Innovation Investment Decision.
The paper is organized as follows:①Introduction. Discuss the significance of research and the basic ideas and framework.②Review the development and evaluation of the real options theory and fuzzy theory.③Study on the valuation model of technological innovation under fuzzy environment.④Study on the real option pricing model of technological innovation under fuzzy environment.⑤Study on the model of multi-stage decision of technology innovation based on dynamic programming.⑥Study on the option game of technological innovation investment decision under fuzzy environment.⑦Study on fuzzy real option of contractual strategic alliance of technology innovation.⑧Conclusion.
This paper studies the enterprise technology innovation investment decision model under fuzzy environment based on introducing the background and significance, the basic idea and framework, the features and innovations, and related theory, then the main innovations in this paper is described as following:
①Using the fuzzy theory, this paper analyzes the uncertainty, ambiguity, irreversibility of the enterprise technology innovation investment, establishing the value assessment model under fuzzy environment, from the modeling, the value of investment opportunity that also is named the option value is affected by a number of factors, because the model considers the actual situations which is limited by the subjective and objective conditions in fuzzy environment(such as war, bankruptcy, the loss of enterprise’s history data, etc.), this paper discusses the issue in a more general context and also comes to the net present value formula of the investment opportunities based on fuzzy environment, this formula is an important basis for project evaluation under fuzzy environment.
②This paper resolves the problem of model parameters which couldn’t be accurately predicted due to the ambiguity of the enterprise technology innovation investment, uses the trapezoidal fuzzy numbers to the expected future income and investment cost, and establishes fuzzy real option pricing models of single and compound options.
③This paper establishes the multi-stage decision model of the enterprise technology innovation investment based on dynamic programming under fuzzy environment, the decision-maker analyzes the effect of uncertainty on the management flexibility values of the enterprise technology innovation investment while there were three options (continue, improve, abandon) at every stage.
④Using the real option theory, this paper studies the flexibility option value model of the enterprise technology innovation contractual alliances under fuzzy environment,and analyzes tight and relaxed management modes under fuzzy environment. The results show that the flexibility option value model of the enterprise technology innovation contractual alliances is an important alliance pricing means under fuzzy environment, if the volatility of related random variables or uncertainty was larger in a certain range, we should choose the more flexible relaxed management modes, and otherwise we should choose the tight management modes. Through analyzing fuzzy real option of contractual strategic alliance of technology innovation, we guarantee the accuracy and rationality of the price, duty and contract terms.
⑤We analysis enterprise technology innovation investment decision-making countermeasures or asymmetrical duopoly model and obtain fuzzy expressions of Investment Values of followers and leaders and their threshold Value under fuzzy environment with sunk cost set as a trapezoidal fuzzy number. Through numerical analysis, we found that there is a best investment strategy under fuzzy environment.
本文以模糊环境下的企业技术创新投资决策为研究对象,运用模糊理论、博弈论、数学优化、实物期权等研究方法,建构了模糊环境下企业技术创新投资决策的几个重要模型,重点讨论了模糊环境下的价值评估、定价决策、多阶段动态决策、联盟期权以及博弈期权价值决策等对企业技术创新投资决策的影响以及模糊环境下的企业技术创新投资决策模型的建构,旨在深入探讨企业技术创新投资决策的维度结构及其决策机制。
本文着重在以下八个方面开展研究工作:①绪论论述了研究的意义和研究的基本思路和框架。②回顾了技术创新、实物期权理论及模糊理论发展概况及其评价。③对模糊环境下的企业技术创新投资项目的价值评估决策进行研究。④研究模糊环境下的企业技术创新投资的定价决策模型。⑤研究模糊环境下的企业技术创新投资动态决策问题。⑥对模糊环境下的企业技术创新联盟的期权价值决策进行研究。⑦对模糊环境下的技术创新投资决策的期权博弈决策进行研究。⑧对全文进行总结展望。
论文在介绍研究背景与意义、基本思路和框架、特色与创新以及相关理论研究综述的基础上,对模糊环境下的企业技术创新投资决策进行了研究,得到了如下创新性结论:
①运用模糊理论分析企业技术创新项目投资的不确定性、模糊性和不可逆性,建立了模糊环境下的技术创新项目的价值评估模型,从建模的情况来看,投资机会的价值也即相应期权的价值受到多个因素的影响,由于该模型考虑了模糊环境下主客观条件所限的实际情况(如战争、公司破产、企业的历史数据丢失等),从更一般意义上讨论了该问题,也得出了基于模糊环境投资机会的净现值流计算公式,这一公式为我们在模糊环境下进行项目评估提供了重要依据。
②克服了数据信息不足和企业技术创新项目投资的模糊性引起的无法准确预测模型参数问题,用梯形模糊数表示项目未来的预期收益和投资成本,建立了单个和复合期权的模糊实物期权定价模型。
③建立了模糊环境下基于动态规划的企业技术创新项目多阶段决策模型,在其每个阶段决策者都面临继续、改进和放弃三种决策选择时分析了模糊环境下不确定因素的变化对企业技术创新项目投资的柔性管理价值的影响。
④在模糊环境下运用实物期权研究了企业技术创新契约型联盟的灵活性期权价值模型,并对模糊环境下技术创新紧密型联盟契约和松散型联盟契约的期权价值做了模型分析。分析结果表明,模糊环境下技术创新契约型联盟的灵活性期权价值模型是一种重要的联盟定价方式,在一定的范围内当有关战略投资随机变量的波动率或不确定性较大时应选择较灵活的松散型契约联盟,反之则选择紧密型联盟。通过对技术创新契约型联盟合作协议的模糊期权分析,为正确合理地确定技术创新产品的购销价格、违约责任以及合理地设计合同条款等提供了有力保障。
⑤在投资沉没成本为梯形模糊数的情况下分析了企业技术创新投资决策的对策或不对称双头垄断模型,得出了模糊环境下追随者、领导者的投资价值及其投资临界值的模糊表达式。通过数值分析,发现在模糊环境下仍存在最优投资策略。
In the process of technological innovation, traditional discounted cash flow techniques are not fit for investment decision-making, for enterprises are facing the uncertainty of technical and market, the investment cost is (partially or completely) irreversible, so corporate decision-making must be flexible. And technology innovation has developed a new feature which need a scientific and reasonable management approach, while the real option provides a convenient. It is not only a useful attempt to establish a framework of technology innovation management with the new option feature and theory, but also reasonable and feasible. Moreover, social environment which real option pricing model relied on is uncertainty, complexity and ambiguity. So the study of fuzzy real option pricing theory provide a new theoretical basis and also being a useful and necessary complement to traditional real option pricing methods. Therefore, this study analysis fuzzy real option of Enterprise Technology Innovation Investment Decision has certain theoretical and practical significance.
In this paper, we take the Enterprise Technology Innovation Investment Decision under fuzzy environment as research subject, use fuzzy theory, game theory, mathematical optimization and real options methods to construct a model, discuss the effect of those model on Investment Decision, aim to deeply discuss the dimension structure and decision model of Enterprise Technology Innovation Investment Decision.
The paper is organized as follows:①Introduction. Discuss the significance of research and the basic ideas and framework.②Review the development and evaluation of the real options theory and fuzzy theory.③Study on the valuation model of technological innovation under fuzzy environment.④Study on the real option pricing model of technological innovation under fuzzy environment.⑤Study on the model of multi-stage decision of technology innovation based on dynamic programming.⑥Study on the option game of technological innovation investment decision under fuzzy environment.⑦Study on fuzzy real option of contractual strategic alliance of technology innovation.⑧Conclusion.
This paper studies the enterprise technology innovation investment decision model under fuzzy environment based on introducing the background and significance, the basic idea and framework, the features and innovations, and related theory, then the main innovations in this paper is described as following:
①Using the fuzzy theory, this paper analyzes the uncertainty, ambiguity, irreversibility of the enterprise technology innovation investment, establishing the value assessment model under fuzzy environment, from the modeling, the value of investment opportunity that also is named the option value is affected by a number of factors, because the model considers the actual situations which is limited by the subjective and objective conditions in fuzzy environment(such as war, bankruptcy, the loss of enterprise’s history data, etc.), this paper discusses the issue in a more general context and also comes to the net present value formula of the investment opportunities based on fuzzy environment, this formula is an important basis for project evaluation under fuzzy environment.
②This paper resolves the problem of model parameters which couldn’t be accurately predicted due to the ambiguity of the enterprise technology innovation investment, uses the trapezoidal fuzzy numbers to the expected future income and investment cost, and establishes fuzzy real option pricing models of single and compound options.
③This paper establishes the multi-stage decision model of the enterprise technology innovation investment based on dynamic programming under fuzzy environment, the decision-maker analyzes the effect of uncertainty on the management flexibility values of the enterprise technology innovation investment while there were three options (continue, improve, abandon) at every stage.
④Using the real option theory, this paper studies the flexibility option value model of the enterprise technology innovation contractual alliances under fuzzy environment,and analyzes tight and relaxed management modes under fuzzy environment. The results show that the flexibility option value model of the enterprise technology innovation contractual alliances is an important alliance pricing means under fuzzy environment, if the volatility of related random variables or uncertainty was larger in a certain range, we should choose the more flexible relaxed management modes, and otherwise we should choose the tight management modes. Through analyzing fuzzy real option of contractual strategic alliance of technology innovation, we guarantee the accuracy and rationality of the price, duty and contract terms.
⑤We analysis enterprise technology innovation investment decision-making countermeasures or asymmetrical duopoly model and obtain fuzzy expressions of Investment Values of followers and leaders and their threshold Value under fuzzy environment with sunk cost set as a trapezoidal fuzzy number. Through numerical analysis, we found that there is a best investment strategy under fuzzy environment.
引文
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