基于模糊实物期权的大型房地产项目投资决策研究

发布时间：2018-01-28 00:30

本文关键词： 房地产投资决策实物期权 Black-Scholes模型盖斯克模型模糊数学　出处：《西安建筑科技大学》2013年硕士论文　论文类型：学位论文

【摘要】：房地产业具有关联度高、带动力强的特点,是我国国民经济增长的支柱性产业。然而,房地产开发又是一项风险性较大的活动,尤其是大型房地产项目,具有投资数额大、开发周期长、回收期长、不确定性较高等特点,其成功与否主要取决于在每一个开发阶段所做出的决策的准确程度。目前,国内的房地产企业仍主要采用传统DCF(现金流折现)法进行投资决策,这对于跨区域的、多阶段滚动开发,具有较高不确定性的大型房地产开发项目而言,就存在着很多缺陷。传统DCF投资决策方法未考虑投资的不可逆性、管理者决策的灵活性以及关联项目所带来的战略价值等因素,因而可能会低估了大型房地产项目的真实价值。实物期权是基于金融期权理论而衍生的一种新型投资决策方法,它的主要特点就是考虑了投资决策中的灵活性、管理的柔性,能够较好地处理房地产开发过程的不确定性因素带来的投资机会价值,可以弥补传统决策方法的不足,进而提高投资决策的准确性和科学性,具有较大的实用价值。本文回顾和比较了传统投资决策方法、实物期权基本理论与方法,突出了实物期权方法在项目投资决策中的优越性。通过对大型房地产项目进行实物期权特性分析,将模糊数学思想引入到传统的实物期权模型中来,对模型中的部分输入变量进行模糊化处理,根据传统实物期权在房地产投资决策中的应用,运用梯形模糊数学的方法,结合大型房地产项目的期权特性,分别构建了模糊实物期权模型和模糊复合实物期权模型,并引用期望值方法计算期权的价值,消除了传统期权计算结果的模糊性,以更为科学地运用实物期权方法进行投资决策。最后以西安市某大型房地产项目为例,运用模糊实物期权和模糊复合期权进行项目的投资决策,分别计算了延迟期权和分阶段投资复合期权,验证了模糊实物期权方法相对更为贴近房地产投资实际,从而更好地为房地产企业投资者提供决策参考。论文针对房地产投资决策方法的改进问题进行深入研究,提出了模糊实物期权方法,能够较准确评价房地产投资项目价值,在一定程度上解决房地产投资领域的不确定性问题,量化了投资活动中的投资机会与经营柔性的期权价值,使实物期权定价更贴近实际,从而为房地产开发企业决策者提供参考依据。
[Abstract]:The real estate industry has the characteristics of high correlation and strong driving force, and it is the pillar industry of the national economic growth of our country. However, the real estate development is a risky activity, especially the large-scale real estate project. It has the characteristics of large amount of investment, long development period, long payback period, high uncertainty and so on. Its success or not mainly depends on the accuracy of the decision made in each stage of development. At present. Domestic real estate enterprises still mainly use the traditional DCF (discounted cash flow) method to make investment decisions, which is for large-scale real estate development projects with high uncertainty and multi-stage rolling development across regions. The traditional DCF investment decision-making method does not take into account the irreversibility of investment, the flexibility of managers' decision-making and the strategic value brought by related projects. As a result, the real value of large real estate projects may be underestimated. Real option is a new investment decision method derived from the financial option theory. Its main feature is to consider the flexibility in investment decision-making. The flexibility of management can deal with the investment opportunity value brought by the uncertain factors in the process of real estate development, can make up for the shortcomings of the traditional decision-making methods, and then improve the accuracy and scientific nature of the investment decisions. It has great practical value. This paper reviews and compares the traditional investment decision methods, the basic theories and methods of real options. This paper highlights the superiority of real option method in project investment decision. By analyzing the real option characteristics of large real estate projects, the fuzzy mathematics theory is introduced into the traditional real option model. According to the application of traditional real options in real estate investment decision-making, the paper applies the trapezoidal fuzzy mathematics method to combine the option characteristics of large real estate projects. The fuzzy real option model and the fuzzy compound real option model are constructed, and the expected value method is used to calculate the value of the option, which eliminates the fuzziness of the traditional option calculation results. Finally, taking a large real estate project in Xi'an as an example, using fuzzy real option and fuzzy compound option to make investment decision. The delay option and the phased investment compound option are calculated respectively, and the fuzzy real option method is verified to be more close to the real estate investment practice, thus providing a better decision reference for the real estate enterprise investors. In this paper, the improvement of the real estate investment decision method is studied in depth, and the fuzzy real option method is put forward, which can evaluate the value of real estate investment project more accurately. To some extent, it solves the uncertainty problem in the field of real estate investment, quantifies the investment opportunity and the flexible option value in the investment activities, and makes the real option pricing closer to the reality. Thus provides the reference basis for the real estate development enterprise decision maker.
【学位授予单位】：西安建筑科技大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F299.233.4

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