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中国管理科学

中国管理科学 ›› 2009, Vol. 17 ›› Issue (5): 120-126.

• 论文 • 上一篇    下一篇

基于风险项目价值的风险投资最优中止时机研究

顾婧1, 周宗放2   

  1. 1. 四川大学经济学院, 四川成都610065;
    2. 电子科技大学经济与管理学院, 四川成都610054
  • 收稿日期:2008-08-26 修回日期:2009-08-13 出版日期:2009-10-31 发布日期:2009-10-31
  • 作者简介:顾婧(1980- ),女(汉族),江苏高邮人,四川大学经济学院,博士,讲师,研究方向:风险投资决策分析.
  • 基金资助:

    国家自然科学基金资助项目(70671017)

Study on the Optimal Termination Time in Venture Capital Based on Venture Project’s Value

GU Jing1, ZHOU Zong-fang2   

  1. 1. School of Economics, Sichuan University, Chengdu 610065, China;
    2. School of Management and Economics, University of Electronic Science & Technology of China, Chengdu 610054, China
  • Received:2008-08-26 Revised:2009-08-13 Online:2009-10-31 Published:2009-10-31

PDF (PC)

1184

被引次数

13

摘要： 中止决策能力是影响风险投资公司长期绩效的重要指标之一,然而现有中止决策方法忽视了风险项目发展过程中信息对项目价值的影响,从而影响了中止决策时机。针对该问题,本文首先从贝叶斯后验估计的角度提出了风险投资家后验概率的信号学习过程;然后运用动态规划方法,在确定对风险项目最优投资水平的基础上,给出了基于风险项目价值的最优中止时机模型;最后对最优中止时机模型进行了算例分析。本文提出的最优中止模型考虑了风险项目发展过程中新信息释放对中止时机的影响,解决了分阶段投资情形下的最优中止决策问题,为风险投资家及时做出中止决策提供决策依据。同时,该模型还可用来分析风险投资家对风险项目的最优投资水平问题,为其做出最优决策提供参考。此外,模型的分析也为风险项目创始人通常发生的逆向选择行为提供了合理的解释。

关键词: 风险投资, 最优中止时机, 动态规划, 有效边界点

Abstract: The ability of making termination decision is an important index that influences the long pert formance of the venture capital firms. However, the present termination decision methods ignore the incoming information's effect during the venture project development process, thus influence the termination decision timd Aiming at this problem, from the view of Bayesian posterior estimate, this paper proposes the posterior probability signal learning process of venture capitalist firstly; based on determining the optimal investment amount to venture project, it then presents a model of venture project's optimal termination time based on venture project's value using the dynamic programming method; and a numerical example which analyses the optimal termination time model is given lastly.The optimal termination model put forward in this paper considers the influence of the incoming information releasing on the termination time, and it deals with the termination decision problem in the case of stages. It also provides reference for ventture capitalist to make termination decision. At the same time, this model can be also used to analyse ventture capitalist's optimal investment decision to venture project, it also provides reference for venture capeitalist's optimal decision. Besides, the analysis of model gives a reasonable explanation to the enterpriser's adverse selection behavior.

Key words: venture capital, optimal termination time, dynamic programming, the efficient boundary point

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