基于贝叶斯—期权博弈的甘肃省地铁项目投资决策研究

发布时间：2018-06-22 12:28

本文选题：甘肃省地铁项目 + 投资决策　；参考：《西南石油大学》2017年硕士论文

【摘要】：随着甘肃地区经济的快速发展,省内主干城市的机动车保有量日益剧增,而城市居民的出行需求量也日益增加;同时由于甘肃省"东西狭长"的独特地域限制,日益严重的交通拥堵问题也降低了省内主干城市居民的出行效率。地铁作为城市轨道交通表现形式之一,以其自身运量大、速度快等独特的优势,成为甘肃省各主干城市缓解交通压力的有效途径。但是,由于地铁项目具有建造成本高、投资巨大、投资回收期长,以及不可逆性等投资特点,同时考虑甘肃省特殊的地理环境、社会环境、人文环境及建设条件等因素,如何科学准确地评估项目价值从而对地铁项目进行投资决策,成为目前甘肃省内主干城市地铁项目建设亟待解决的问题。本文采用贝叶斯-期权博弈的方法来解决甘肃省内主干城市地铁项目的投资决策问题,首先,采用实物期权中常用的Black-Scholes定价模型综合考虑项目净现值和实物期权价值来更准确评估兰州地铁项目的价值,然后针对Black-Scholes定价模型的在波动率随机性问题上的不足,基于贝叶斯定理充分利用所有已知信息,综合考虑参数的先验和后验信息的优势,将Black-Scholes定价模型中的波动率看成是随机变量来研究,得到区别频率学派利用历史数据确定的历史波动率(常量),即贝叶斯波动率(分布函数)。从而构建贝叶斯-期权博弈模型,以更合理地评估甘肃省主干城市地铁项目的项目价值,并对甘肃省地铁项目中政府与投资方的特许权期决策进行了数值模拟分析。最后,通过对甘肃省兰州市某地铁项目的贝叶斯-期权模型分析,验证了该项目投资决策的可行性和有效性。
[Abstract]:With the rapid economic development of Gansu Province, the number of motor vehicles in the main cities in the province is increasing rapidly, and the travel demand of urban residents is also increasing. At the same time, due to the unique geographical constraints of the "east-west" region of Gansu Province, The increasingly serious problem of traffic congestion also reduces the travel efficiency of the main urban residents in the province. As one of the forms of urban rail transit, subway has become an effective way to relieve traffic pressure in every trunk city of Gansu province, because of its unique advantages such as large volume and fast speed. However, due to the high construction cost, huge investment, long payback period and irreversibility of the subway project, the special geographical environment, social environment, humanistic environment and construction conditions of Gansu Province are taken into account at the same time. How to evaluate the project value scientifically and accurately so as to make investment decision on the subway project has become an urgent problem to be solved in the subway project construction of the main city in Gansu province. In this paper, the Bayesian option game method is used to solve the problem of investment decision of subway projects in the main cities of Gansu Province. The Black-Scholes pricing model, which is commonly used in real options, is used to consider the net present value and real option value to evaluate the value of Lanzhou metro project more accurately, and then to solve the problem of volatility randomness of Black-Scholes pricing model. Based on Bayesian theorem, the volatility in Black-Scholes pricing model is considered as a random variable by taking advantage of all known information and considering the advantages of prior and posterior information of parameters. The historical volatility (constant), namely Bayesian volatility (distribution function), is obtained by using historical data. Thus the Bayesian option game model is constructed to evaluate the project value of the main urban subway project in Gansu Province more reasonably and the decision of concession period between the government and the investors in the subway project in Gansu Province is simulated and analyzed numerically. Finally, by analyzing the Bayesian option model of a subway project in Lanzhou City, Gansu Province, the feasibility and effectiveness of the investment decision of the project are verified.
【学位授予单位】：西南石油大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F572.88;F224.32

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