Optimal R&D investment for a risk-averse entrepreneur

被引：23
作者：
Whalley, A. Elizabeth [1 ]
机构：
[1] Univ Warwick, Warwick Business Sch, Coventry CV4 7AL, W Midlands, England
来源：
JOURNAL OF ECONOMIC DYNAMICS & CONTROL | 2011年 / 35卷 / 04期
关键词：
R&D; Technical uncertainty; Entrepreneurial investment; Cost of unhedgeable risk; Utility maximisation; UNCERTAINTY; OPTION;
D O I：
10.1016/j.jedc.2009.11.009
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Entrepreneurs investing in R&D projects face technical uncertainty associated with the cost to completion of the project, which is idiosyncratic and inherently unhedgeable. We extend existing real options models of R&D investment to incorporate the cost of bearing this unhedgeable risk and find it decreases risk-averse entrepreneurs' valuations of R&D projects and increases the minimum NPVs required for continued investment in R&D (threshold NPVs) relative to 'unpriced risk' values and threshold NPVs. As in the 'unpriced risk' case, for less risk-averse entrepreneurs with small R&D projects, threshold NPVs remain negative and decrease with technical uncertainty. However, for sufficiently risk-averse entrepreneurs with sufficiently large R&D projects, threshold NPVs can become positive and increase with technical uncertainty. (C) 2010 Elsevier B.V. All rights reserved.
引用
收藏
页码：413 / 429
页数：17
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