摘要
利用鲁棒优化模型分析了动态环境下企业协作研发的投资组合优化问题,通过模型推导和仿真分析发现动态环境下企业协作研发投资活动具有较为明显的鲁棒效应。在动态环境下企业协作研发投资收益和风险并存,鲁棒优化可以较好地测算出不同期望收益条件下的最小风险和最优权重组合,可以引导企业的协作研发投资决策在风险和收益间做出权衡,制定有效的投资决策方案。
Enterprise cooperative R&D portfolio optimization problem under dynamic environment is analyzed using robust optimization model,and the results show there is obvious a robust effect in the process of enterprise cooperative R&D investment under dynamic environment.In the process of enterprise cooperative R&D investment,returns and risks are coexistence,and minimum risk and optimal weight combination of different expectations can be derived by robust optimization model.The conclusions can guide enterprises to make cooperative R&D investment decisions effectively,considering both risks and benefits.
出处
《中国管理科学》
CSSCI
北大核心
2012年第S2期702-707,共6页
Chinese Journal of Management Science
基金
国家自然科学基金资助项目(71173066
70903020)
关键词
动态环境
协作研发
鲁棒优化
博弈
dynamic environment
cooperative R&D
robust optimization
game
