Research on R&D investment decision making under uncertainty of technology and price
WU Lijuan1, CAO Guohua2
1. Big Data Decision Institute(BDDI), Jinan University, Guangzhou 510632, China; 2. School of Economics and Business Administration, Chongqing University, Chongqing 400030, China
Abstract：With the rapid development of science and technology, research and development (R&D) is an important activity for the survival and development of enterprises. There are two kinds of risks in the enterprise R&D investment projects, they are the technology risk which can not be hedged, and the price risk, which is due to the uncertainty of price and demand when the R&D products are put into the market, while the price risk can be partially hedged. Considering an R&D innovation enterprise, how to carry out investment and consumption problems. By establishing the utility maximization model, and using the methods of stochastic optimal control, the optimal strategy for the exponential utility function can be obtained, and this paper also expounds the R&D value and its investment/termination threshold. Numerical results show that the greater technical risk will produce the greater value of information generation, which making the total value of R&D is not reduced but increased; Risk aversion has a significant impact on R&D value and R&D/termination threshold; Due to the existence of the value of R&D information generation, the R&D/termination threshold is different from the threshold which makes the traditional net present value (NPV) equal to zero.
吴利娟, 曹国华. 技术和价格不确定下企业研发投资决策研究[J]. 系统工程理论与实践, 2017, 37(7): 1720-1726.
WU Lijuan, CAO Guohua. Research on R&D investment decision making under uncertainty of technology and price. Systems Engineering - Theory & Practice, 2017, 37(7): 1720-1726.
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2017, Vol. 37 
