技術創新下不同風險型態之最適投資決策：實質選擇權與產品生命週期之應用

The Optimal Investment Decision of Different Risk Types on Technological Innovation under Uncertainty: Using Real Options Approach and Product Life Cycle

10.6504/JOM.2009.26.05.02

陳明琪(Ming-Chi Chen)；張有中(Yu-Chung Chang)；林逾先(Edward Yu-Hsien Lin)

實質選擇權 ； 風險型態 ； 技術創新 ； 產品生命週期 ； Real Options Approach ； Type of Risk ； Technological Innovation ； Product Life Cycle

管理學報

26卷5期（2009 / 10 / 01）

507 - 532

繁體中文

本研究主要是利用實質選擇權(real options approach; ROA)方法，建構不同風險型態決策者依據產品生命週期理論在技術創新與不確定環境下之最適投資決策模型，並進行數值分析模擬與敏感度分析，以探討在未來新技術對當前新技術衝擊下，企業依據產品生命週期理論應如何規避投資專案之風險，提高不確定環境下管理者的應變能力與實質選擇權價值。 研究針對風險中立、風險趨避與風險愛好三種不同風險型態之決策者，依據產品生命週期理論在技術創新與不確定環境下進行分析，結果發現：1.當投資的成本加上未來技術創新對當前新技術之衝擊影響程度大於單位時間內企業計畫價值瞬間成長率，將使得企業因無利可圖而把投資的時點延後。2.三種不同風險型態決策者，依據產品生命週期理論在技術創新與不確定環境下之最適投資決策門檻值以風險愛好者為最高，其次為風險中立者，最後為風險趨避者。3.瞬間成長率與新產品生命週期和門檻值呈現正相關；而折現率、需求彈性與新技術之衝擊影響程度和門檻值呈現負相關。4.研究模型適用於實際市場資料，針對大陸安彩高科公司之個案分析可以闡述理論模型之確切性。

In this paper we construct the optimal investment decision model of different risk types on technological innovation under uncertainty by using real options approach and product life cycle, and then conduct numerical analysis and sensitivity analysis to evaluate the optimal investment thresholds and research the optimal investment strategies by using product life cycle under the future innovation shock the present innovation. By this way, we can evade the investment risks, raise the ability of director in an emergency and enhance the price of real options. When the investment projects have the characteristics of irreversibility, uncertainty and the ability to wait, the traditional net present value (NPV) method will underestimate the value of investment, since it neglects the values of timing and operational flexibility. We shall extend the NPV method by using real options approach (ROA). The distinctive feature of this paper is to consider the effects of different risk types, technological innovation and product life cycle into the optimal investment decision model. We consider different utility functions according to the different endure degrees of risk among decision makers to characterize risk neutral, risk averse and risk loving. To apply product life cycle, we can study the optimal investment thresholds of different risk types on technological innovation under uncertainty, there are three results as follows. 1. The optimal entry time of the investment will delay when investment cost and the degree of the future innovation shock the present innovation are larger than the instantaneous rate of growth of project value. 2. The investment thresholds of the decision model of different risk types on technological innovation under uncertainty by using product life cycle indicate the threshold of risk loving is highest, the threshold of risk neutral is second and the threshold of risk averse is lowest. 3. The instantaneous rate of growth of project value and the product life cycle has positive relation with the investment threshold, respectively. Risk-free rate, elasticity of demand and the degree of the future innovation shock the present innovation have the negative relations with the investment threshold. 4. Our research model can apply to the actual market; the case study of the Ancai high-technology company may elaborate trueness of the theoretical model.

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