光伏发电投资决策的实证分析——基于ARMA-GARCH模型修正后的动态规划法

发布时间：2018-01-09 20:11

本文关键词：光伏发电投资决策的实证分析——基于ARMA-GARCH模型修正后的动态规划法　出处：《运筹与管理》2017年10期 　论文类型：期刊论文

【摘要】：运用可靠方法评估项目的最优临界值和最大机会价值是光伏发电投资决策面临的关键问题。本研究选取了与某光伏企业发电投资项目价值"孪生"的一只股票的836个日收盘价格(从2012年1月4日至2015年6月24日)建立波动率预测模型,并在此基础上修正了该项目投资决策的动态规划法。然后给出了该投资的最优临界值、最大机会价值以及不同波动率下的这两个值的变化趋势。研究表明:该"孪生"股票价格的条件异方差使得最优临界值和最大机会价值对波动率的敏感程度不同——当波动率增大时,上述两个值虽然都增加,但增加的程度不同;当波动率增大到一定程度时,这两个值增加的程度都明显提高。因此,将波动率纳入光伏发电投资决策分析中有助于提高决策质量,减少企业损失。
[Abstract]:Using reliable method to evaluate the optimal critical value and the maximum opportunity value of the project is the key problem in the investment decision of photovoltaic power generation. In this study, the twinning with the value of a photovoltaic enterprise's power generation investment project is selected. The 836-day closing price of a stock. From January 4th 2012 to June 24th 2015, the volatility prediction model is established. On this basis, the dynamic programming method for the investment decision of the project is modified, and the optimal critical value of the investment is given. The maximum opportunity value and the variation trend of these two values under different volatility. The study shows that the "twin" The conditional heteroscedasticity of stock price makes the optimal critical value and the maximum opportunity value have different sensitivity to volatility-when the volatility increases. Although both of the above values increased, the increase was different; When the volatility increases to a certain extent, both of these values increase obviously. Therefore, it is helpful to improve the quality of decision-making and reduce the loss of enterprises by incorporating volatility into the analysis of investment decision for photovoltaic power generation.
【作者单位】：西安交通大学管理学院;
【基金】：基金项目:产能影响下的光伏供应链风险池效应研究(71372164)
【分类号】：F406.7;F426.61;F832.51
【正文快照】： 0引言光伏发电具有建设周期短、能源清洁和可再生等特点。正是由于这些特点,光伏发电受到了各国政府的高度重视。目前我国光伏企业发电投资主要受社会经济状况、国内外政策、法律环境、投资成本、同行竞争、资金流动性、货币政策以及企业财务状况等信息的影响,而以上信息主要

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