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1、华中科技大学 博士学位论文 私募股权投资的风险规避研究 姓名：张旭波 申请学位级别：博士 专业：企业管理 指导教师：张子刚 20090415 华 中 科 技 大 学 博 士 学 位 论 文华 中 科 技 大 学 博 士 学 位 论 文 I 摘摘 要要 私募股权投资是以股权投资的方式投资于企业生命周期的不同阶段，在持有一 定时期后获利退出的一种投资方式，对于促进中小企业的发展，企业所有权改制及 资产重组、转型等具有重要的意义。而私募股权投资本身所具有的不透明，不流动 等特征又使其在运作过程中面临许多内生的和外生的风险，合理管理和规避风险是 私募股权投资研究中的重要课题。 从私募股权投资单一投资阶
2、段的联合投资伙伴选择的风险规避问题入手，运用 模糊选优的方法对联合投资合作伙伴从联合成本、声誉、组织相容性和资源互补性 四个方面进行综合评价，分别以收益最大和风险最小为目标，构造了以风险目标加 权的最优收益模型，推导出了在风险加权的情况下，单一阶段联合投资伙伴的最佳 选择。在此基础上，运用动态规划方法，构建了多阶段联合投资伙伴选择的风险规 避模型，推导出了多阶段联合投资伙伴的最佳选择。 应用期权博弈理论的方法和模型，对不确定环境下的二阶段私募股权投资决策 的相关风险与预期收益进行分析和数学描述，建立了私募股权投资决策的期权价值 模型。在期权模型的基础上，对被投资企业与私募股权投资公司之间信息不
3、对称情 况进行了分析，将私募股权投资公司与拟投资企业之间的博弈归结为具有不完全信 息的动态博弈信号博弈，求出了信号博弈的合并完美贝叶斯均衡解。 对私募股权投资中的委托代理问题进行了理论研究，建立了不考虑企业家和私 募股权投资公司基金经理的能力约束的代理问题博弈分析模型，在此基础上，在企 业家和私募股权投资基金经理能力与经验限制的情况下，企业家和私募股权投资基 金经理努力不能完全转化为有效产出，建立了具有能力和经验约束的委托代理风险 规避的博弈模型，求出了完美贝叶斯均衡解。在博弈均衡时，增加企业家的分配比 例，可以使企业家努力的成本下降，而刺激企业家努力，私募股权投资公司就可以 较低的成本对其监
4、控；私募股权投资公司的收益是企业家风险厌恶程度的减函数， 企业家的风险厌恶程度越低，私募股权投资公司的收益就越高。 分析了不同退出程度、不同退出类型和不同退出时机给退出过程带来的风险， 并对退出过程中人力资源、执行管理、时间安排和退出成本、退出宣传及聘请退出 华华 中中 科科 技技 大大 学学 博博 士士 学学 位位 论论 文文 II 顾问等执行风险进行了分析，将退出风险的影响因素归结为退出收益率、退出成本、 退出程度、退出变现的速度、退出相关人员的态度、退出环境六个主要方面，并以 18 个子指标对这六个方面的风险加以评价，提出了以风险加权的收益为评价总目标 的灰色关联度私募股权投资退出风险规
5、避模型，求出了以风险加权的收益为目标的 退出选择的最优顺序。 关键词：关键词：私募股权投资，风险规避，委托代理，期权博弈，信号博弈 华华 中中 科科 技技 大大 学学 博博 士士 学学 位位 论论 文文 III Abstract Private equity as an equity capital is a way to invest in business at different stages of the lifecycle and then exit from the business after gain a profit from the investment. Private
6、equity has a significant means to promoting the development of small and medium enterprises, the restructuring the ownership of business, the restructuring the assets of enterprise, the transformation of the enterprise and so on. As the private equity itself has non-transparent, non-liquid character
7、istics, it faces many endogenetic and exogenous risks in the operation process. The risk management and avoiding is the important issue in the study of private equity. A fuzzy selection model is established to avoid the risk in the choice of private equity syndication partners in the single private
8、equity stage at first. Cost, reputation, organization consistent and resource complementary are considered in the model, the maximum return and minimum risk as the models objective respectively. The risk subjection objective weight optimum return subjection model is established and the optimum candi
9、date is educed in risk weight. Base on this single investment stage model, use dynamic programming methods to establish a multi-stages syndication candidate alternative risk model to elusion the risk. Get the multi-stage syndication candidate alternative maximum solution. Use option-game model and m
10、ethods described the two stage private equity investments risk and expects return in mathematic model under uncertainty. It established private equity option decision-making model to analyses the option value. Base on the option decision-making model, the information asymmetry between private equity
11、 firm and portfolio companies are analysis, the game between private equity firm and portfolio companies is come down to with incomplete information and dynamic game: signal game. A solution of combination perfect Bayesian equilibrium is represented. The principal-agent problem in private equity is
12、studied theoretically. A principal-agent risk avoid game model is established to analyses the agent problem use game theory between private equity firm and portfolio companies without the capability restriction of both fund manager and portfolio entrepreneur at first, and then the capability restric
13、tion of both fund manager and portfolio entrepreneur are considered in the model. The perfect Bayesian equilibrium is educed. In case of game equilibrium, the increase in the ratio if entrepreneurs can mane the effort cost reduced and thus stimulates the entrepreneurs pay out effort. The private equ
14、ity firm can control the portfolio companies at 华华 中中 科科 技技 大大 学学 博博 士士 学学 位位 论论 文文 IV lower cost in this case. Contrariwise, there is higher control cost. The income of private equity firm is a minus function about entrepreneurs risk adverse degree. The lower the degree of risk aversion of entrepre
15、neurs will lead to the higher the income of the private equity firm. Analyses the exit risk bring to exit process in different exit degree, type and occasion. Analysis the risk about exit human resourse, executeive management, timing, exit costs, propagandaize, and hire consultants in the implementa
16、tion of exit processs and come down the risk influence factors to exit return ratio, exit cost, exit degree, liquidity of exit return, the relative employees attitude and exit environment six main aspect. 18 sub-indicate are used to valuate the six risk aspect of exit. A gray relevance evaluation model which with a risk weighted exit return as general objective is established and the optimum exit selection order base on the risk weighted exit return is represented. Key words: private e
