基于Fuzzy理论的风险投资研究
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摘要
风险投资面临着极大的不确定性，需要合理适用的方法对投资项目进行评估与决策。但现有的风险评估方法通常采用确定的数值来衡量风险指标体系，忽略了风险指标的不确定性；实物期权方法虽然能弥补传统价值评估理论存在的缺陷，较好地量化不确定性带来的期权价值，其定价模型的前提假设却与投资的实际情况不相符合。不断发展的模糊理论为处理此类问题提供了有力的工具。将模糊理论引入到风险投资的评估与决策及相关问题的研究中，能够很好地解决风险指标的不确定和定价模型参数难于估计等问题。
本文将模糊理论与实物期权理论、不确定理论、现代投资组合理论相结合，采用统计学的思想和方法，对风险投资项目评估与决策及企业竞争生态模型进行了深入研究。首先，建立风险指标体系，将模糊理论与层次分析法、模拟技术有效地结合起来，对投资项目进行了风险评估；并运用模糊理论改进实物期权定价模型中的参数估计，建立多阶段复合增长期权的模糊实物期权定价模型，用于投资项目的价值评估；其次，将模糊理论引入现代投资组合模型，建立基于模糊理论的风险投资组合决策模型；最后，将模糊理论引入到企业生态位和生态位重叠的模型研究中，建立了企业竞争的模糊生态模型；并提出生态视角下的企业竞争策略。论文的创新点有：
1．由于投资项目评估中风险指标的不确定性，本文将风险指标和风险指标的权重用三角模糊变量来表示，利用模糊理论和层次分析法建立模型，通过模糊模拟技术对投资项目进行风险评估。
2．本文克服了数据信息不足和风险投资的不确定引起的无法准确预测模型参数问题，用梯形模糊变量表示项目未来的预期收益和投资花费，建立了单个和复合增长期权的模糊实物期权定价模型，在此基础上，推导出了多阶段复合增长期权的模糊实物期权定价模型，给出了模型的解析解。
3．对传统投资决策方法进行改进，将模糊理论引入现代投资组合模型，建立了风险投资组合模糊决策模型。
Facing a great deal of uncertainty, venture capital needs a reasonable methodfor assessment and decision-making of investment projects. However, existing riskassessment methods are often used to measure system of risk indicators withdetermine the value, and Neglect the uncertainty of risk indicators; Although realoptions valuation make up for existing defects of the traditional theory and betterquantize the option value the uncertainty bring about, The assumptions of its pricingmodel are incompatible with the actual situation of investment. The developingfuzzy theories provide a powerful tool to deal with such problems. The introductionof fuzzy theory to the investment risk assessment and decision-making andresearch-related issues can very good resolve the problem about the uncertainty ofrisk indicators and pricing model parameters difficult to estimate.
In this paper, fuzzy theory combine with real option theory and uncertaintytheory and modern portfolio theory, adopting statistical thinking and methods, Anin-depth study to risk assessment and decision-making of investment projects andcorporate ecological model of competition. First of all, establishing a risk indexsystem, fuzzy theory effectively combine with AHP method and simulationtechnology to evaluate the risk of the investment projects; Using fuzzy theory toimprove option pricing model of parameter estimation, establish a multi-stagecompound growth options of fuzzy real options pricing model for valuation ofinvestment projects. Second, fuzzy theory are introduced into modern portfoliomodel, establish the risk portfolio decision-making model base on fuzzy theory.Finally, fuzzy theory are introduced into the business niche and niche overlap of themodel study, set up fuzzy ecological model of enterprises competition; and putforward ecological perspective of enterprise competitive strategy。
The innovation of the thesis is in the following:
1. Because of the uncertainty of risk indicator in investment projects assessment,this paper use the triangular fuzzy variables to express the risk indicators and itsweights, using fuzzy theory and AHP method to establish models, and assess the investment projects through fuzzy simulation technology.
2. This paper overcome the problem that model parameters can not beaccurately predicted because of lacking data information and uncertainty of riskinvestment, use trapezoidal fuzzy variable to represent investment expenditure andthe project's future expected earnings and establish fuzzy real option pricing modelof single and compound growth options. On this base, this paper derive fuzzy realoption pricing model of multi-stage growth compound options, and get the analyticalsolution of the model.
3. This paper improves the traditional investment decision methods, introducefuzzy theory into risk investment portfolio models, establish risk investmentportfolio Fuzzy decision-making model
本文将模糊理论与实物期权理论、不确定理论、现代投资组合理论相结合，采用统计学的思想和方法，对风险投资项目评估与决策及企业竞争生态模型进行了深入研究。首先，建立风险指标体系，将模糊理论与层次分析法、模拟技术有效地结合起来，对投资项目进行了风险评估；并运用模糊理论改进实物期权定价模型中的参数估计，建立多阶段复合增长期权的模糊实物期权定价模型，用于投资项目的价值评估；其次，将模糊理论引入现代投资组合模型，建立基于模糊理论的风险投资组合决策模型；最后，将模糊理论引入到企业生态位和生态位重叠的模型研究中，建立了企业竞争的模糊生态模型；并提出生态视角下的企业竞争策略。论文的创新点有：
1．由于投资项目评估中风险指标的不确定性，本文将风险指标和风险指标的权重用三角模糊变量来表示，利用模糊理论和层次分析法建立模型，通过模糊模拟技术对投资项目进行风险评估。
2．本文克服了数据信息不足和风险投资的不确定引起的无法准确预测模型参数问题，用梯形模糊变量表示项目未来的预期收益和投资花费，建立了单个和复合增长期权的模糊实物期权定价模型，在此基础上，推导出了多阶段复合增长期权的模糊实物期权定价模型，给出了模型的解析解。
3．对传统投资决策方法进行改进，将模糊理论引入现代投资组合模型，建立了风险投资组合模糊决策模型。
Facing a great deal of uncertainty, venture capital needs a reasonable methodfor assessment and decision-making of investment projects. However, existing riskassessment methods are often used to measure system of risk indicators withdetermine the value, and Neglect the uncertainty of risk indicators; Although realoptions valuation make up for existing defects of the traditional theory and betterquantize the option value the uncertainty bring about, The assumptions of its pricingmodel are incompatible with the actual situation of investment. The developingfuzzy theories provide a powerful tool to deal with such problems. The introductionof fuzzy theory to the investment risk assessment and decision-making andresearch-related issues can very good resolve the problem about the uncertainty ofrisk indicators and pricing model parameters difficult to estimate.
In this paper, fuzzy theory combine with real option theory and uncertaintytheory and modern portfolio theory, adopting statistical thinking and methods, Anin-depth study to risk assessment and decision-making of investment projects andcorporate ecological model of competition. First of all, establishing a risk indexsystem, fuzzy theory effectively combine with AHP method and simulationtechnology to evaluate the risk of the investment projects; Using fuzzy theory toimprove option pricing model of parameter estimation, establish a multi-stagecompound growth options of fuzzy real options pricing model for valuation ofinvestment projects. Second, fuzzy theory are introduced into modern portfoliomodel, establish the risk portfolio decision-making model base on fuzzy theory.Finally, fuzzy theory are introduced into the business niche and niche overlap of themodel study, set up fuzzy ecological model of enterprises competition; and putforward ecological perspective of enterprise competitive strategy。
The innovation of the thesis is in the following:
1. Because of the uncertainty of risk indicator in investment projects assessment,this paper use the triangular fuzzy variables to express the risk indicators and itsweights, using fuzzy theory and AHP method to establish models, and assess the investment projects through fuzzy simulation technology.
2. This paper overcome the problem that model parameters can not beaccurately predicted because of lacking data information and uncertainty of riskinvestment, use trapezoidal fuzzy variable to represent investment expenditure andthe project's future expected earnings and establish fuzzy real option pricing modelof single and compound growth options. On this base, this paper derive fuzzy realoption pricing model of multi-stage growth compound options, and get the analyticalsolution of the model.
3. This paper improves the traditional investment decision methods, introducefuzzy theory into risk investment portfolio models, establish risk investmentportfolio Fuzzy decision-making model
引文
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