风险溢价、不确定性与专利投资的多阶段性  

Risk Premium,Uncertainty and Multi-stages of Patent Investment

作　　者：薛明皋[1] 苏丽丽[1] 

机构地区：[1]华中科技大学管理学院财务与金融系,湖北武汉430074

出　　处：《中国管理科学》2010年第3期1-9,共9页Chinese Journal of Management Science

基　　金：国家自然科学基金资助项目(70671047);国家自然科学基金资助项目(70871046)

摘　　要：本文研究风险溢价、不确定性和专利投资的多阶段性三者之间的关系,揭示投资决策理论的内在机理。利用最优控制模型给出了两阶段情况下的风险溢价的解析表达式,在多阶段的复杂情形下利用动态规划的数值迭代法给出了风险溢价的数值解。研究发现风险溢价在专利投资完成前后有很大差异,在专利投资完成后风险溢价仅随市场风险的增大而增大,但在专利投资完成前风险溢价不仅随着专利长度、已完成阶段数和未来的预期利润流的增大而降低、而且随着市场风险的增大而增大。这些结论是现有理论的创新和进一步完善,有利于在实践中做出更加合理的投资决策。In this paper,we analyze the relation among risk premium,uncertainty and multi-stages of patent investment,in order to reveal the internal mechanism of investment decision theory.Using the optimal control model,we firstly derive the analytic expression of risk premium in the situation of two-stage.Under more than two stages case,numerical solution is presented by using numerical iteration algorithm based on dynamic programming.It is shown that the risk premium has significant differences between the pre-and post patent investment completion.After completion patent investment,the risk premium only increases with the increasing market risk.On the other hand,before completion with the increasing market risk,the risk premium increases accordingly,but the result turns out contrary to that of increasing patent length,the number of completed stages and expected future cash flow.Our results will help to bring forth new ideas on the extant theory,and to make a scientific investment decisions.

关 键 词：风险溢价 不确定性 专利长度 市场风险 实物期权 投资决策 

分 类 号：F224[经济管理—国民经济] C934[经济管理—管理学]