实物期权的项目投资组合决策优化研究

基于项目投资决策的可延迟性特征,将实物期权的决策灵活性思想引入到企业的投资组合决策中,建立了基于实物期权的0-1整数规划模型.模型以项目的期权价值而非净现值最大化作为投资组合项目选择的标准,通过项目组合投资时机的灵活安排,实现了项目组合的总投资价值最大化.     

电子商务投资——实物期权模型分析

电子商务投资具有投资不可逆性和较高的不确定性等特点,电子商务投资的不确定性因素形成了投资的机会价值。传统的电子商务投资决策方法存在对折现率的选取困难、现金流量预测不准以及不能反映管理的灵活性等缺陷,因而它忽视了电子商务投资的期权价值,常常低估电子商务投资项目的真实价值,从而导致错误的决策。将实物期权理论在电子商务投资决策中的模型分析作为研究的课题,运用实物期权理论与方法,研究电子商务投资在不确定性因素下的投资决策方法与评价模型,为电子商务投资决策提供了新的思路和决策方法。     

企业信息化投资的实物期权决策方法及应用

针对传统方法在企业信息化投资评价中的不足,根据企业信息化项目投资与美式分红期权投资的特征相似性,将期权理论引入到企业的信息化投资中,研究了不同投资评价周期下企业执行投资的最优时点,建立了实物期权决策模型.实例应用表明,企业的评价周期越短,企业执行投资的最优时点就越提前.     

基于实物期权理论的项目投资评价方法研究

项目投资决策受许多不确定性因素的影响,这些不确定性因素给投资项目带来投资机会的价值,传统的投资评价方法不能考虑投资项目的投资机会价值。本文应用期权定价理论,把项目的投资机会价值与项目的静态评价值相结合,建立了相应的评价模型,使投资项目的评价更符合实际。     

基于敲出障碍期权和博弈理论的项目投资决策分析

阐述了实物期权的基本原理和敲出障碍期权的内涵及其定价求解，提出了基于敲出障碍期权的实物期权定价方法和博弈理论的项目投资决策分析，分析了双寡头市场结构下的项目投资决策，给出了算例分析。     

期权方法在R＆D项目决策中的应用

本文简要分析了传统投资项目决策NPV法的缺陷与不足，提出从实物期权的角度来分析R＆D项目投资决策上的管理柔性，进一步揭示隐含在R＆D不确定性投资中的价值，最后对实物期权的应用提出一些改进建议。     

非对称信息条件下外部性期权问题分析

描述了外部性期权投资者和经营者价值函数,分析了不同信息条件下外部性期权的最优投资决策.在非对称信息条件下,外部性期权经营者对于项目价值信息隐匿,是一个具有逆向选择的委托代理问题.设计了以外部性期权管理当局利润数学期望最大为目标函数,以控污成本和污染预防水平作为状态方程的最优控制问题.应用极大值原理,得出了外部性期权最优控污成本和污染评价水平的求解方案.最后,进行了外部性期权的仿真实验,验证了外部性期权上的分析结果.     

高速公路建设中合理积极应用BOT方式的策略

高速公路BOT项目既能弥补资金缺口,又能提高投资效益,还把市场机制引入投融资领域,这些对解决我国公路交通建设领域的一些重大问题都有现实意义。本文通过通过研究高速公路建设项目采用BOT方式确定投资人的工作过程,分析政府和投资人在高速公路BOT融资方式建设中遇到的问题,提出了抓紧建立和完善建立高效的BOT办事机构,出台严格规范的政策措施,形成长效有力的监控体系,完善BOT投资法制法规环境等对策建议。     

BOT方式特许协议的法律性质

BOT方式是一种私人资本参与一国基础设施建设的新的国际投资方式。BOT特许协议的法律性质一直存在两种争议：国内契约还是国际契约?如果是国内契约，该契约是公法契约(行政合同)还是私法契约?     

浅谈BOT模式在我国基础设施建设融资中的应对策略

我国十二五规划发展的重要特征是全面推进城市化进程,来提高国内需求能力和缓解社会矛盾,而在推进城市化进程中基础设施建设变得尤为重要,在财政短缺的情况下资金从何而来,如何统筹规划发展硬件系统,成为了各级政府的难题。BOT是世界上普遍采用的大型基础设施建设融资方式之一,本文通过对BOT项目如何解决我国各级政府所需处理的难题进行探讨,提出相应策略。     

基于可能性理论和ANP方法的BOT项目投资机会评价研究

传统的以风险分析技术为基础的投资机会评价方法需要输入参数的相对频率,而在BOT建设项目中参数的相对频率是不容易获取的.基于此,提出了一种能为投资项目的财务与非财务因素的综合影响建模的方法,它使用可能性理论去解决财务与非财务因素所固有的不确定性问题.采用了ANP方法来确定非财务因素的相对权重,较好地解决了BOT项目不确定性问题,模型运算较简单,便于操作.     

Determination of the Financing Scale, Time Limit and Returns from the Investment in BOT Projects

The key aspect to the successful implementation of BOT concept is the raising of finance by project sponsor, so financial engineering techniques and capital structuring skills are required to find the proper mix of debt and equity. The capital structure and present a model to determine the equity level from the aspects of financing scale, construction time and return on investment are analyzed. The resulting model can help the sponsor to avoid the capital risk, and offer the government a criterion to evaluate management ability of the sponsor. To show the application and availability of this model, a case study is conducted. Thus, this paper is concern with the determination of financing scale, construction time, and return on investment which would assist the sponsor to ensure that the equity level for optimal capital structure is available prior to the implementation stage in BOT project operation.     

Critical success factors for PPP infrastructure: perspective from Taiwan

Abstract

Taiwan opened up international competitive bidding for its first public private partnership (PPP) project in Oct. 1996, the western corridor High Speed Rail (THSR) project, and the contract was signed in July 1998, which was the largest Build-Operate-Transfer (BOT) project in the world at the time. Then, other PPP projects were launched for improving Taiwan’s infrastructure. Based on the statistics provided by Taiwan Ministry of Finance (TMOF), Taiwan then conducted a total of 1217 PPP projects between 2002 and 2014. Many PPP projects are successful. However, studies on the critical success factors for Taiwan’s PPP Projects are scant. The purpose of this paper is to present the findings which resulted from a study which aimed to identify & prioritize those factors critically contributing to the success of PPP infrastructure projects in Taiwan and to demonstrate the methodologies used. Four principal groups were extracted via factor analysis. They are: supportive legal frameworks, a favorable investment environment, selection of appropriate PPP projects and public support. Hopefully, the findings and the associated methodologies illustrated in this study can serve as references for successfully conducting PPP infrastructure projects in the future.     

Modeling Government Subsidies and Project Risk for Financially Non-Viable Build-Operate-Transfer (BOT) Projects

Abstract:

Governments encourage private sector participation in building infrastructure through Build-Operate-Transfer (BOT) agreements. Large projects may be financially non-viable despite their net economic benefits for the host society. Host governments might subsidize initial private investments to create financial feasibility. Small-scale subsidies might not sufficiently reduce project risks to attract private investment; however, large percentage subsidies might result in loose profit structures, discouraging the pursuit of efficiency. This article applies Monte Carlo techniques to data from the Taiwanese West Corridor High-Speed Rail Project to assess the subsidy-risk trade-off relationship. The results provide guidance for public-private negotiations.     

基于实物期权理论的并购企业定价研究

实物期权方法的重要特征是能够定量地评价不确定性因素给项目带来的价值影响。本文应用期权理论分析M&A项目投资,实质上是引入了并购决策的动态计价算法,可以准确地估算由并购决策带来的未来选择权的价值,从而避免由于忽略未来选择权而导致的投资不足。在实际中,选择权价值的计算主要是借用金融期权定价的Black-Scholes模型和CRR模型来进行。     

A fuzzy model for assessing the risk exposure of procuring infrastructure mega-projects through public-private partnership: The case of Hong Kong-Zhuhai-Macao Bridge

Considering the rapid urbanization growth rate particularly in developing countries, the number of infrastructure mega-projects over the past years has risen tremendously. Essentially, because infrastructure mega-projects require huge investment funds, better management skills, well qualified and experienced international expertise and technology innovation, they are mostly preferred to be procured using the PPP method compare to the use of the traditional bid-build system. In this regard, this paper aims to develop a fuzzy evaluation model for assessing the suitability of procuring infrastructure mega-projects through PPP by considering their risk exposure. The main body of Hong Kong-Zhuhai-Macao Bridge (HZMB) is used as a case project to demonstrate the practicality of the risk evaluation model. The risk evaluation model consists of four critical risk groupings, these include, construction and land risks, commercial risks, operational risks and political risks. Using the risk evaluation equation, a risk index of 4.53 out of 5.00 is computed for the selected project if it is procured through the PPP scheme. This outcome shows that the case project is not suitable for the PPP approach because its risk exposure is very high. The model developed will enable PPP practitioners to predict the likely risk exposure of procuring infrastructure mega-projects through the PPP scheme.     

Thoughts on a methodology to analyse viability of private-sector participation in new infrastructure projects in developing countries

A model has been developed for investment analysis of all types of infrastructure projects: it addresses some of the key issues for developing countries regarding private-sector participation in infrastructure projects. As an illustration, financial analyses of a bulk water supply project and a water distribution project in Sri Lanka are carried out to estimate subsidy percentages required to make the projects viable. To reap maximum benefits from private-sector participation in water supply, the Government should review its policy on water pricing and institute a reasonable increase in tariffs.     

PPP高速公路项目合作双方投资比例与特许经营期决策

为了确定PPP高速公路公私合作双方的合理投资比例以及私营投资者的特许经营期,通过比较PPP高速公路项目交通量饱和期和特许经营期两个时点大小,构建了两组公私合作双方投资比例与特许经营期的决策模型。运用此决策模型获得了合作双方的最佳投资比例与特许经营期,实现了政府部门的社会效益最大化和私人投资者的个人收益最大化。并引入算例对构建的决策模型进行了实际应用,充分验证了模型的有效性。