基于Black-Scholes模型的污水处理PPP项目投资决策研究

发布时间：2018-04-05 20:26

本文选题：污水处理PPP项目　切入点：特许期　出处：《杭州电子科技大学》2017年硕士论文

【摘要】：水务建设是国家经济发展中的重要基础性建设,我国经济快速发展的过程中,水污染治理已经成为急需面对的重大问题。科学合理的投资决策是缓解当前污水处理行业严峻局面的有效措施,为了克服污水处理项目传统投资决策中的政府资金短缺、风险集中等问题,“PPP模式”作为公共基础设施多元化治理的一种新模式应运而生。针对污水处理PPP项目的投资决策问题,本文将Black-Scholes期权定价模型应用于污水处理PPP项目传统的NPV投资决策模型中,构建了最优特许期决策模型,该模型弥补了污水处理PPP项目传统NPV投资决策模型中价值计算模糊的缺点,同时,本文创新性的运用HP滤波法,通过运行EVIEWS软件对连续多年的污水处理量进行滤波分析,精确得出Black-Scholes期权定价模型中的重要参数值波动率σ,最后通过将各参数值带入优化模型,得出在协议约定期限内刚好达到投资者期望的投资回报值时的特许期,即为污水处理PPP项目投资决策中的最优特许期,以辅助政府和社会投资者更加科学的做出污水处理PPP项目的投资决策。最后,本文以诸暨市在建污水处理PPP项目为例,通过运行本文所构建的优化后的决策模型,对诸暨市污水处理PPP项目的特许期进行分析评价,并对政府和社会投资者在对其他PPP项目进行特许协议投资决策时提供参考。
[Abstract]:Water affairs construction is an important basic construction in the national economic development. In the process of rapid economic development in China, water pollution control has become an urgent and important problem.Scientific and reasonable investment decision is an effective measure to alleviate the severe situation of sewage treatment industry. In order to overcome the problems of shortage of government funds and concentration of risks in the traditional investment decision of sewage treatment projects,As a new mode of diversified governance of public infrastructure, "PPP mode" came into being.Aiming at the investment decision of PPP project, this paper applies the Black-Scholes option pricing model to the traditional NPV investment decision model of the sewage treatment PPP project, and constructs the optimal concession decision model.This model makes up the shortcoming of fuzzy value calculation in the traditional NPV investment decision model of sewage treatment PPP project. At the same time, this paper innovatively uses HP filter method to filter and analyze the amount of sewage treatment for many years by running EVIEWS software.The volatility 蟽 of the important parameter value in the Black-Scholes option pricing model is accurately obtained. Finally, by bringing the parameter values into the optimization model, the concession period is obtained when the investment return value of the investor is exactly reached within the agreed period.That is, the optimal concession period in the investment decision of sewage treatment PPP project, in order to assist the government and social investors to make more scientific investment decision of sewage treatment PPP project.Finally, taking the PPP project under construction in Zhuji city as an example, this paper analyzes and evaluates the concession period of Zhuji sewage treatment PPP project by running the optimized decision-making model constructed in this paper.It also provides reference for government and social investors to make investment decision of concession agreement for other PPP projects.
【学位授予单位】：杭州电子科技大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：X703;F283

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