基于Stackelberg博弈的风险项目投资水平分析  

Decision Analysis for Venture Project Investment Based on Stackelberg Game

作　　者：顾婧[1] 周宗放[2] 

机构地区：[1]四川大学经济学院 [2]电子科技大学经济与管理学院

出　　处：《管理学报》2010年第9期1386-1390,共5页Chinese Journal of Management

基　　金：国家自然科学基金资助项目(70671017);成都市科技计划资助项目(cdkj-07-03/04)

摘　　要：在风险项目以债权-股权相结合的融资工具的假定上,引入融资合约中常用的"激励因子",分别建立风险投资家和企业家的支付函数,从而构建了斯坦克尔伯格(Stackelberg)博弈模型;然后用逆向归纳法分析Stackelberg模型,讨论了作为领导者的企业家的自有资本和"激励因子"对作为跟随者的风险投资家的总投资水平及资本结构的影响;并在此基础上分析了企业家的均衡投资决策,进而给出了企业家为激励风险投资家而需提供自有资本水平的必要条件,从而解决了企业家对风险投资家的激励问题。通过研究发现:风险投资家的总投资水平由债权"激励因子"和其边际投资机会成本决定,而股权投资水平由其绝对风险厌恶因子、主观收益率的参数以及"激励因子"决定。尽管假定风险投资家较企业家风险厌恶,但是后者可以通过激励前者,使前者对于风险项目前景较后者乐观。This paper supposes that the entrepreneur provides a combination of equity and debt financing,and builds the payoff functions of entrepreneur and venture capital by introducing the incentive scheme from the financing contract.Consequently,a Stackel-berg game is constructed.Then,it discusses how the own capital and incentive scheme of entrepreneur as the leader affects the total investment and capital structure of venture capitalist as the follower by adverse induction,and further discusses the equilibrium investment decision of entrepreneur further thus to solve the incentive problem that the entrepreneur has.We conclude that the total investment amount is determined by the debt incentive scheme and marginal cost of venture capitalist;and the equity investment amount is determined by the absolute risk aversion factor of venture capitalist,the parameters of subjective income rate and incentive scheme.Furthermore,we argue that although the capitalist is assumed to be more risk averse than the entrepreneur,he can be made to be more optimistic.

关 键 词：风险投资 STACKELBERG博弈 激励因子 绝对风险厌恶因子 自有资本 

分 类 号：C93[经济管理—管理学] F830.59