基于在线算法的进口设备投资决策研究

发布时间：2018-06-06 20:41

本文选题：在线算法 + 竞争分析　；参考：《华南理工大学》2014年硕士论文

【摘要】：近年来，国家的鼓励政策为扩大进口提供了坚实基础；同时，进口国外先进设备，对提升产业技术水平、增强产业自主创新能力都起到较大作用。但随着经济日益全球化、投资资金紧缺及信息传递的加快，使得投资者对进口设备的投资决策面临着巨大压力。因此，，基于进口设备的在线投资研究对决策具有一定的指导意义。对于该问题的处理，通常是采用贝叶斯方法，假定资产是一随机变量，进而建立一个精确的概率模型进行研究。但由于市场的瞬息万变，很难刻画出变量波动的精确分布，即使得到精确的概率模型，也仅能给出概率意义上的平均最优策略，对每次决策来说极有可能给出一个离最优策略相差甚远的结果。为弥补传统决策理论的不足，本文在前人研究的基础上，分析进口设备是否投资、何时投资、采取何种方式投资、如何使投资资金最少等问题，从投资者的风险偏好和各种预期等建立符合现实决策的在线模型，并通过竞争分析给出最优在线策略，进一步丰富并完善现有的金融决策模型，为投资者提供客观可行的投资方案。具体从以下几个方面展开：（1）建立了多策略选择的进口设备在线租赁模型。传统的租赁问题以经典的“租雪橇”模型为基础，只考虑纯租赁和纯购买两种策略，基于实际决策中投资方式是多种多样的事实，进一步考虑了投资者可选择先付部分购买费用后以某一较低的租赁价格进行租赁的策略。先分析了多策略选择下的最优离线策略；并运用在线算法和竞争比思想给出该问题的确定性最优在线策略；最后数值例子表明：在多策略选择的问题中，竞争比性能随着策略的不同而改变，多策略选择对进口设备的租赁决策具有显著的影响。（2）建立了通胀市场下进口设备的风险补偿在线租赁模型。考虑到市场中设备的价格随时间持续上涨的特征，研究了通胀市场中的租赁问题在有利率情形下的策略，并建立相应概率预期的风险补偿模型。先运用在线算法和竞争分析理论设计了该问题的最优竞争策略。接着，在风险补偿竞争分析框架下，进一步讨论该问题，投资者可以控制风险，根据自己不同的风险容忍度和未来预期选择补偿最大的策略；也可以根据给定的补偿收益约束选择风险最小的策略。最后数值分析表明：基于概率预期的风险补偿策略大大改善了该进口设备租赁问题的竞争比性能。（3）建立了通胀市场下的多进口设备在线租赁模型。考虑到随着企业经济规模的扩大，对设备的多台需求也随之增加，继续在市场通胀的背景下分析多设备投资策略。先给出Karp经典模型下多设备投资的最优在线和离线策略；接着建立设备在连续可分情形下的最优风险控制模型，并结合实际投资中设备必须以离散整数租赁的特点，对理论策略进行调整，得到近似的最优策略。最后的数值例子表明：当物价指数逐渐增大时，最优决策日期相应提前，对应的竞争比也逐渐增大，说明物价指数和多设备投资因素的引入对投资者的多进口设备投资决策有着重要的影响。（4）建立了基于外汇预期和人民币期权组合的进口设备投资资金的在线投资模型。考虑到该进口设备的租赁资金是需以外币（如美元）进行支付的，在汇率波动幅度逐渐增加的大背景下设计了多策略组合的设备资金投资策略。先在Yaniv提出的外汇兑换模型的基础上，对汇率波动的上下界进行风险预期，给出两预期下投资的最优保留价格。接着结合人民币期权避险理论，建立基于无期权费用的外汇看涨风险逆转期权组合的进口设备投资资金兑换模型。最后给出基于外汇预期和人民币期权组合的多策略资金兑换策略，并结合实际交易数据验证模型的有效性，表明了多策略组合的资金兑换模型能在一定程度上分散投资风险。
[Abstract]:In recent years, the state's incentive policy has provided a solid foundation for the expansion of imports. At the same time, importing advanced foreign equipment has played a major role in enhancing the technical level of the industry and enhancing the independent innovation ability of the industry. However, with the increasing globalization of the economy, the shortage of investment funds and the acceleration of information delivery make investors invest in imported equipment. Therefore, the research on online investment based on imported equipment has a certain guiding significance for decision making. The treatment of this problem is usually based on Bayesian method, assuming that the asset is a random variable and then a precise probability model is established, but it is difficult to describe the variable because of the fast changing market. The exact distribution of the fluctuation, even if the exact probability model is obtained, can only give an average optimal strategy in the probability meaning. It is very likely to give a result that is far away from the optimal strategy for each decision. In order to make up the shortage of the traditional decision theory, this paper analyzes the investment of the imported equipment on the basis of the previous research. In what way investment, how to invest, how to make the least investment funds and so on, establish an online model that meets the realistic decision from the investor's risk preference and various expectations, and give the best online strategy through competitive analysis, further enrich and improve the existing financial decision-making model, and provide an objective and feasible investment scheme for the investors. Specific from the following aspects:
(1) an online leasing model of imported equipment is set up. The traditional lease problem is based on the classic "renting sleigh" model, only considering two kinds of strategies, pure lease and pure purchase, based on the fact that the investment mode in the actual decision is a variety of facts. The strategy of leasing at a lower lease price. First, the optimal off-line strategy under multi strategy selection is analyzed, and the online algorithm and competition ratio idea are used to give a deterministic optimal online strategy. Finally, the numerical example shows that in the problem of Multi Strategy Selection, the competition performance is changed with the strategy, and the multi strategy is more different than the strategy. The choice has a significant impact on the leasing decisions of imported equipment.
(2) the online leasing model of risk compensation for imported equipment in the inflation market is established. Considering the constant rising of the price of equipment in the market, the strategy of the rental problem in the inflation market is studied under the interest rate situation, and the corresponding risk compensation model is set up. The online algorithm and the competition analysis theory are used first. The optimal competition strategy of the problem is designed. Then, under the framework of risk compensation competition analysis, the problem is further discussed. The investor can control the risk, choose the maximum compensation strategy according to the different risk tolerance and future expectation, and can also choose the least risk strategy according to the given compensation income constraint. The value analysis shows that the risk compensation strategy based on probability expectation greatly improves the competitive ratio performance of the imported equipment leasing problem.
(3) the online leasing model of multi import equipment under the inflation market is established. Considering the expansion of the enterprise economy, the demand for multiple equipment is also increased, and the investment strategy of multi equipment is analyzed under the background of market inflation. The optimal online and offline strategy of multi equipment investment under the classic Karp model is given. The optimal risk control model is prepared in a continuous and separable case. Combined with the characteristics of the discrete integer lease in the actual investment, the theoretical strategy is adjusted and the optimal strategy is obtained. The last numerical example shows that when the price index is gradually increased, the optimal decision date is earlier and the corresponding competition ratio is gradual. The increase indicates that the introduction of price index and multi device investment factors has an important impact on investors' investment decisions of multiple import equipment.
(4) an online investment model of imported equipment investment funds based on foreign exchange expectation and RMB option combination is established. Considering that the lease funds of the imported equipment are to be paid in foreign currency (such as US dollars), a multi strategy portfolio investment strategy is designed under the background of increasing exchange rate fluctuation. First, Yaniv is proposed. On the basis of the foreign exchange model, we anticipate the risk of the upper and lower bound of the exchange rate, give the optimal reserve price of the two expected investment, and then combine the RMB option hedging theory to establish an import investment fund exchange model based on the non option cost based risk reversal option combination. Finally, the foreign exchange based on foreign exchange is given. The Multi Strategy funds convertibility strategy is expected to be combined with the RMB option, and the validity of the model is verified with the actual transaction data. It shows that the fund exchange model of the multi strategy combination can disperse the investment risk to a certain extent.
【学位授予单位】：华南理工大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F752.61;F406.72;F426.4

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