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不确定竞争市场的R&D投资决策分析
引用本文:刘向华,李楚霖.不确定竞争市场的R&D投资决策分析[J].经济数学,2004,21(1):10-15.
作者姓名:刘向华  李楚霖
作者单位:华中科技大学数学系,华中科技大学数学系 武汉,430074,武汉,430074
基金项目:国家自然科学基金资助项目 (70 0 71 0 1 2 )
摘    要:本文针对不确定的竞争市场 ,分析降低成本的不可逆 R& D投资决策 .考虑到 R& D结果不确定 ,而这种不确定与投资量有关 ,在利用博弈论方法分析和给出了投资结果不确定的投资期权价值后 ,设随机市场需求规模服从均匀分布 ,本文分析了各种因素对 R& D投资的影响 ,发现较大的市场需求预期和较强的成本节约效果鼓励了 R& D投资 ;相反地 ,较大的成功 R& D所需的最大投资量挫败了 R& D投资 ;而投资期望净收益与投资成本之间的权衡使得存在事前最优投资量最大化投资期权价值

关 键 词:R&D  增长期权  Cournot竞争
修稿时间:2003年5月8日

R&D INVESTMENT DECISION UNDER UNCERTAINTY AND IMPERFECT COMPETITION
Liu Xianghua Li Chulin.R&D INVESTMENT DECISION UNDER UNCERTAINTY AND IMPERFECT COMPETITION[J].Mathematics in Economics,2004,21(1):10-15.
Authors:Liu Xianghua Li Chulin
Abstract:This paper considers an uncertain and competitive market,where the incumbent corporate conducts cost reduction research&development(R&D).The paper takes account of the fact that the result of R&D is uncertain and this uncertainty is related with the investment amount.The value of investment opportunity with uncertain R&D result is derived by means of game theory.With the assumption that the stochastic market demand scale follows a uniform distribution,the impacts of several factors on R&D investment decisions are analyzed.We find that large expectation of market demand scale and strong cost reduction effect encourage the investment;on the contrary,large maximal investment amount of successful R&D discourages the investment;however,the tradeoff between the possibility of successful R&D and the investment cost leads to the existence of ex ante the optimal investment amount to maximize the investment option value.
Keywords:R&D  growth option  cour not Competition
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