基于蒙特卡洛风险模拟的高速公路投资决策

发布时间：2018-12-25 08:01

【摘要】：高速公路作为重要的公益性基础设施建设项目，对一个国家或一个地区的经济和社会发展均起着至关重要的作用。高速公路建设项目具有投资规模大、周期长、阶段多、不确定因素多等特点，伴随我国物价、征地拆迁数量和费用、工程规模、生态环保工程的增加，高速公路投资风险显著增加，只关注高速公路的经济效益指标的方法已不适宜，如何权衡效益和风险两者之间的关系对于合理开展高速公路决策，选择最优的投资方案有着重要的意义。传统的高速公路投资决策的方法采用的是现金流量折现法，这种方法没有考虑项目未来现金流量的不确定性。因此，本文将蒙特卡洛风险模拟分析与现金流量折现法相结合，引入我国高速公路建设项目的风险的分析，与敏感性分析法相比，蒙特卡洛风险模拟方法可以根据历史数据拟合风险因素的分布，并得到计算结果的概率分布曲线和参数，从而更加直观地反映项目的效益和风险。在多个高速公路项目组合决策上，本文提出了将蒙特卡洛风险模拟方法和遗传算法相结合的方法，该方法可以分别求解总净现值的均值最大和总的净现值的方差最小的两个目标下的投资组合方案的最优解集。并引入了马科维兹的均值—方差理论，对这两个解集进行效益—风险的平衡分析，求出投资组合方式的帕累托解集。最后，根据决策者效用的无差异曲线，，求解对于不同风险厌恶程度的决策者而言最优的投资组合方式。通过对浙江省“十二五”期间新建的6条高速公路进行案例分析，研究结果表明，与传统的方法相比，使用蒙特卡洛风险模拟方法提高了项目由于未来现金流量的不确定性增加的期权的价值。另一方面，在解决高速公路投资组合决策问题上，通过融入蒙特卡洛风险模拟方法，可以求出基于效益-风险平衡的投资组合方案的帕累托解集，也可以用来进行不同方案之间的比较选择，具有较好的应用价值，一定程度上为高速公路建设项目的风险管理与决策提供了技术和方法上的支持。
[Abstract]:Highway, as an important public welfare infrastructure construction project, plays a vital role in the economic and social development of a country or a region. Expressway construction projects have the characteristics of large scale of investment, long period, many stages and many uncertain factors. With the increase of price, quantity and cost of land requisition and demolition, project scale, ecological environmental protection project, etc. The risk of expressway investment has increased significantly, so it is not appropriate to focus only on the economic benefit index of expressway. How to balance the relationship between benefit and risk is very important to carry out expressway decision-making. It is of great significance to choose the best investment scheme. The traditional method of highway investment decision is discounted cash flow, which does not take into account the uncertainty of future cash flow. Therefore, this paper combines the Monte Carlo risk simulation analysis with the cash flow discounted method, and introduces the risk analysis of highway construction projects in China, compared with the sensitivity analysis method. Monte Carlo risk simulation method can fit the distribution of risk factors according to historical data, and obtain the probability distribution curve and parameters of the calculated results, thus more intuitively reflecting the benefits and risks of the project. In this paper, the method of combining Monte Carlo risk simulation method with genetic algorithm is put forward in the decision making of several expressway projects. This method can solve the optimal solution sets of portfolio schemes with the maximum mean value of total net present value and the minimum variance of total net present value, respectively. The mean-variance theory of Markowitz is introduced to analyze the benefit-risk balance of the two solutions, and the Pareto solution set of portfolio is obtained. Finally, according to the no-difference curve of decision-maker utility, the optimal portfolio method for decision-makers with different degree of risk aversion is solved. Through the case study of 6 new expressways built during the 12th Five-Year Plan in Zhejiang Province, the results show that, compared with the traditional methods, Monte Carlo risk simulation method is used to increase the value of options that increase the uncertainty of future cash flow. On the other hand, in solving the problem of freeway investment portfolio decision, by incorporating Monte Carlo risk simulation method, the Pareto solution set of portfolio scheme based on benefit and risk balance can be obtained. It can also be used to compare and choose different schemes, which has good application value and provides technical and methodological support for risk management and decision making of expressway construction projects to a certain extent.
【学位授予单位】：长安大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：U412.366;F542

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