基于实物期权理论的水利PPP项目决策模型.pdfVIP

摘 要 水利水电一直以来都在国民经济体系中占据着重要的地位，长期以来水利行业的进展主要依 赖于政府财政的投入，这种单一的融资模式在一定程度上制约了水利行业的进展。随着在国家政 策主导下的水利项目投资体制的改革，放开了民间资本通过 PPP （Public-Private Partnerships）模式参加到水利项目建设与运营，在水利项目的开发中推行 PPP 模式具有辽阔的 前景。对于私人投资者来说，实现项目经济效益的最大化是其参加水利项目建设与运营的主要动 力。因此，私人投资者在进行 PPP 模式下水利项目的投资决策时，项目预期经济效果的评估是其 中的关键。本文针对水利工程项目投资规模大，建设周期和资金回收周期长，以及项目中不确定 性因素多的特点，应用实物期权的理论与方法，研究了在不确定条件下水利工程投资决策的推迟 期权模型与期权价值计算方法。成果如下： （1）对传统的项目投资评价方法进行了研究，探究了传统评价方法中所存在的缺陷，应用 了实物期权理论建立了水利工程项目的投资决策模型； （2）重点研究了水利工程项目投资决策中推迟期权模型的建立，并且采纳了最小二乘蒙特 卡洛模拟法对推迟期权的价值进行了求解； （3）分别应用传统的项目价值评价方法和推迟期权的价值评价方法对一个水利项目的投资 决策案例进行了分析，将两种方法进行了对比，论证了实物期权理论对于评估水利工程项目价值 的适用性。 关键词：实物期权；最小二乘蒙特卡洛模拟；投资决策 ABSTRACT Water conservancy and hydropower always occupies an important position in the national economic system and for a long time the development of the water conservancy industry has mainly depended on the government input, but the single financing mode have restrained its development to some extent. With the policy-led reform of the investment system for water conservancy projects, China has encouraged the private capital to participate in the construction and operation of water conservancy projects through PPP (Public-Private Partnerships), thus there is a broad prospect for carrying out the PPP during the project development. It is the primary impetus for private investors participating in the construction and operation of water conservancy projects is to maximize their economic benefits from the projects. Therefore, when the private investors are making investment decisions in the water conservancy projects under the PPP, it’s crucial to evaluate the expected economic benefits. With regard to the features of water conservancy projects, such as large-scale investment, long constru