| 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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| 引用本文： | 余谦,刘雅琴.企业自主研发与合作创新的风险测度及组合优化[J].运筹与管理,2019,28(5):77-83. |
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| 作者姓名： | 余谦 刘雅琴 |
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| 作者单位： | 武汉理工大学 经济学院,湖北 武汉 430070 |
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| 基金项目： | 国家自然科学基金资助项目(71373198,71774128) |
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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。
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| 关 键 词： | R&D项目 自主研发 合作创新 投资组合优化 |
| 收稿时间： | 2017-11-24 |
Risk Measurement and Portfolio Optimization between Independent Development and Cooperative Innovation |
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| YU Qian,LIU Ya-qin.Risk Measurement and Portfolio Optimization between Independent Development and Cooperative Innovation[J].Operations Research and Management Science,2019,28(5):77-83. |
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| Authors: | YU Qian LIU Ya-qin |
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| Affiliation: | School of Economics, Wuhan University of Technology, Wuhan 430070, China |
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| Abstract: | 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. |
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| Keywords: | R&D projects independent development cooperative innovation portfolio optimization |
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