Azimina E.V.Published in:
Creative Economy
– Volume 11, Number 9 (September 2017)

JEL classification: C60, O00, O10

Keywords: direct and dual optimization tasks, economic and mathematical modeling, risks of innovation, stifling innovative value


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Abstract:

The article determines the main factors of risk formation during creation of innovative value on the basis of economic-mathematical modeling. We consider the nature of new risks which are typical for the creation of innovative value. We present a direct model of linear programming of optimal innovation portfolio which maximizes the creation of value, taking into account additional constraints that consider the significance of various types of innovation. As a result, it allows forming an innovative portfolio that most closely matches the enterprise strategy. To this direct problem we also provide a dual task aimed at search for prices of innovation plan resources expressed in capital price categories that provide "normative" returns and investment prices in various directions. At the same time the dual task constraints show the nature of the risk premium for the formation of an optimal portfolio; the type of restrictions allows us to formulate the condition that the actual return on investments in risk-adjusted areas should be bigger than the "normative" yield. For long-term projects using mathematical transformations of discounted series, we reveal the risk premium as an index reflecting a decrease in income over time.

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