风险投资预测-决策模型与风险定价机制研究  

Venture capital prediction-decision model and risk pricing mechanism

作　　者：刘李俪 姜恒 张永林[1] LIU Lili;JIANG Heng;ZHANG Yonglin(School of Statistics,Beijing Normal University,100875,Beijing,China)

机构地区：[1]北京师范大学统计学院,北京100875

出　　处：《北京师范大学学报（自然科学版）》2021年第5期577-583,共7页Journal of Beijing Normal University(Natural Science)

基　　金：国家社科基金重点资助项目(20AJY001);教育部规划基金资助项目(18YJA790110)。

摘　　要：立足于风险投资全过程,发现了风险投资的金融行为特征,明确了当风险投资主体高度理性时,外部市场不确定和投融资主体之间信息不确定并不是绝对的外生;借助数学模型,论证了风险投资预测过程的实质是将风险内部化.风险投资主体充分运用其投资优势,对投资目标的可行性、不确定性和收益性等方面进行事先"定性"考察、分析与判断,使投融资过程中的风险内部化.在预测的基础上,风险投资主体根据所拥有的投资优势、掌握的经验数据与未来信息,运用动态连续判断策略,获得"定量"风险收益优化组合决策,而不是传统地降低风险.最优风险收益组合决策与无预测决策的收益差值,即风险外溢与创新外溢的估值,体现了风险投资作为内部驱动的经济意义.Characteristics of venture capital financial behavior was studied to clarify that under high rationality of venture capital,uncertainty of external market and uncertainty of information between financing entities are not absolutely exogenous. Mathematical modeling demonstrated that prediction of venture capital is essentially a mechanism of risk internalization. The subject of venture capital makes full use of their investment advantages,to conduct prior " qualitative" investigations, analyses and judgments on feasibility, uncertainty, and profitability of investment objectives,so risks in investment and financing process can be internalized. Forecasting,empirical data,future information and investment advantages, dynamic and continuous judgment strategies are used by venture capitalists to obtain " quantitative" optimized risk-return portfolio, instead of the traditional mere risk reduction.Income difference between optimal risk-income portfolio decision and non-forecast decision or valuation of risk and innovation spillover reflects economic value of venture investment as an internally-driven one.

关 键 词：投资优势 未来信息 风险内部化 预测-决策 风险-收益优化组合 

分 类 号：F830.159[经济管理—金融学]