价格呈几何布朗运动规律的出口海陆仓质押率优化

发布时间：2018-04-01 05:33

本文选题：出口海陆仓　切入点：质押率　出处：《系统工程理论与实践》2017年10期

【摘要】：针对质押物价格呈几何布朗运动规律、与需求呈线性下降关系下的出口海陆仓融资质押率优化问题,利用条件概率原理,分析获得了出口海陆仓融资各种情形发生概率,通过同时考虑质押物陆上仓储费用和海上运输费用,构建了船公司融资(期望)利润分段函数模型,并运用数值逼近法和解析法设计了最优质押率的求解算法步骤.算例验证了模型和算法的适用性和有效性.敏感性分析结果表明最优质押率与质押物价格呈负相关关系,与质押量呈正相关关系;船公司最大期望利润与质押物价格呈正相关关系,随着质押量的增加,船公司最大期望利润呈先上升后下降趋势.研究结论可为船公司制定融资优化决策提供科学的参考.
[Abstract]:In view of the geometric Brownian motion law of the pledge price and the optimization of the financing pledge rate of the export sea and land warehouse under the linear decreasing relation between the demand and the price, the probability of various cases of export sea and land warehouse financing is analyzed by using the conditional probability principle. By considering both the onshore storage cost and the maritime transportation cost of the pledged goods, the paper constructs a segmental function model of the financing (expected) profit of the shipping company. The numerical approximation method and analytical method are used to design the algorithm for solving the optimal pledge rate. An example is given to verify the applicability and validity of the model and the algorithm. The sensitivity analysis results show that the optimal pledge rate has a negative correlation with the pledge price. The maximum expected profit of the shipping company is positively correlated with the price of the pledged property, and with the increase of the amount of pledge, the maximum expected profit of the shipping company is positively correlated with the quantity of the pledge. The maximum expected profit of the shipping company is rising first and then decreasing. The conclusion of the study can provide a scientific reference for the shipping company to make the financing optimization decision.
【作者单位】：大连海事大学交通运输管理学院;大连海事大学综合交通运输协同创新中心;
【基金】：国家自然科学基金(71372088) 中央高校基本科研业务费(01760431) 辽宁省高等教育内涵发展专项资金(协同创新中心)资助(20110116102)~~
【分类号】：F550;O211.6

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