基于实物期权博弈的矿山投资决策研究
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摘要
铀是核电站反应堆燃料和核武器材料,在我国国民经济和国防安全中占有重要的地位,为了避免盲目开采导致资源浪费,对铀矿项目的投资决策分析具有重要的意义。传统投资决策分析方法(主要代表方法是NPV法)没有估计不确定因素所带来的价值,不能正确反映铀矿项目真实价值。实物期权理论弥补了传统资本预算理论在投资战略分析中的不足,但没有解决竞争因素对投资战略的影响。期权博弈理论的提出,使矿业企业有可能更加全面和精确地评价投资项目的价值和制定正确的投资战略。
本文的研究内容如下:
1)分析了矿产资源的潜在价值及矿产资源的竞争性对价值的侵蚀作用,提出研究矿山投资决策分析的重要意义。将实物期权定价理论与博弈理论有机的结合起来,构建矿山投资决策的期权博弈模型;
2)提出了一个相对完整的矿山投资项目的双寡头垄断期权博弈理论体系框架,包括其理论依据、主要工具和方法,并建立了矿山项目的双寡头垄断期权博弈投资战略分析模型,以及矿山项目投资战略模型应用的基本思路和具体的操作步骤。
3)将矿山投资的双寡头垄断期权博弈战略模型应用于铀矿山投资决策,并对铀矿山的具体案例进行了数值化分析,证明应用期权博弈法对铀矿项目进行投资决策分析可以充分考虑不确定性因素和竞争因素等引起的风险性,从而能够使得铀矿项目实现最优的投资决策。
Uranium is the reactor fuel of nuclear power station and nuclear weapons material, it occupy the important position in our national economy and in the safe of national defence, in order to avoid blindly exploiting and causing resources to waste, so the economic evaluation of the uranium ore project is important. Traditional methods (especially the NPV) haven't estimate the value which brought by these uncertain factors, and they can't reflect correctly the true value of uranium ore project. Though the defect of traditional capital budget theory in the analysis of investment strategy are compensated by introducing the real options theory and method, the influences of competition factors have not been seriously taken into consideration. The proposal of Option Games Theory makes it possible for enterprises to evaluate investment projects roundly and precisely, and to make correct investment strategic.
The thesis consists of the following parts:
1)The thesis analyzes the mineral resource potential value and mineral resource competitiveness to the value corrosive nature, proposes the important meaning of researching mine investment decision. builds the model of the option games theory in the investment strategic analysis by combined the optimal stopping theory and the timing game theory.
2)The thesis puts forward the two-oligopoly option game theory system framework, includes theory basis、main tools and the method, sets up the mine project investment strategic model based on the two-oligopoly option game theory and the basic thinking and the essential running processes of the option game theory in the mine project investment strategic model.
3) The two-oligopoly option game theory system model is applied to the uranium mines investment strategies, and carry on the numerical analysis to a uranium mine case,proved the options game theory system model applied to the uranium mines analysis of the investment decision-making can be fully considered uncertainty factors and competition factors, and thus are able to achieve optimal uranium mine project investment decisions.
本文的研究内容如下:
1)分析了矿产资源的潜在价值及矿产资源的竞争性对价值的侵蚀作用,提出研究矿山投资决策分析的重要意义。将实物期权定价理论与博弈理论有机的结合起来,构建矿山投资决策的期权博弈模型;
2)提出了一个相对完整的矿山投资项目的双寡头垄断期权博弈理论体系框架,包括其理论依据、主要工具和方法,并建立了矿山项目的双寡头垄断期权博弈投资战略分析模型,以及矿山项目投资战略模型应用的基本思路和具体的操作步骤。
3)将矿山投资的双寡头垄断期权博弈战略模型应用于铀矿山投资决策,并对铀矿山的具体案例进行了数值化分析,证明应用期权博弈法对铀矿项目进行投资决策分析可以充分考虑不确定性因素和竞争因素等引起的风险性,从而能够使得铀矿项目实现最优的投资决策。
Uranium is the reactor fuel of nuclear power station and nuclear weapons material, it occupy the important position in our national economy and in the safe of national defence, in order to avoid blindly exploiting and causing resources to waste, so the economic evaluation of the uranium ore project is important. Traditional methods (especially the NPV) haven't estimate the value which brought by these uncertain factors, and they can't reflect correctly the true value of uranium ore project. Though the defect of traditional capital budget theory in the analysis of investment strategy are compensated by introducing the real options theory and method, the influences of competition factors have not been seriously taken into consideration. The proposal of Option Games Theory makes it possible for enterprises to evaluate investment projects roundly and precisely, and to make correct investment strategic.
The thesis consists of the following parts:
1)The thesis analyzes the mineral resource potential value and mineral resource competitiveness to the value corrosive nature, proposes the important meaning of researching mine investment decision. builds the model of the option games theory in the investment strategic analysis by combined the optimal stopping theory and the timing game theory.
2)The thesis puts forward the two-oligopoly option game theory system framework, includes theory basis、main tools and the method, sets up the mine project investment strategic model based on the two-oligopoly option game theory and the basic thinking and the essential running processes of the option game theory in the mine project investment strategic model.
3) The two-oligopoly option game theory system model is applied to the uranium mines investment strategies, and carry on the numerical analysis to a uranium mine case,proved the options game theory system model applied to the uranium mines analysis of the investment decision-making can be fully considered uncertainty factors and competition factors, and thus are able to achieve optimal uranium mine project investment decisions.
引文
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[3]郭斌.实物期权理论与方法在技术创新管理中的应用与发展[J].研究与发展管理,2002,14(4):10-15
[4]张立杰.收益现值法在矿产资源评价中存在的问题[J].西安科技学院学报,2003,9
[5]刘德学,尉明.净现值法的修正及其在风险投资项目评价中的应用[J].技术经济与管理研究,2004,01:15-19
[6]宋逢明.期权定价理论和1997年度的诺贝尔经济学奖[J].管理科学学报,1998,06:6-10
[7]Allmen,J.2000."Real Options Overview." Working paper"
[8]Alvarez L H R and Keppo J.The impact of delivery lags on irreversible investment under uncertainty[J].European Journal of Operational Research,2002;136(1):173-180
[9]宋继民,何亚伯.改进的ENPV法在项目投资评价中的应用[J].经营·管理,2003(6)
[10]Mason J.Real options and the adoption of new technologies[R].Working Paper,MIT,.Technology Management,1999,3(3):285-297
[11]Merton RC,The Theory of Rational Option Pricing[J],Bell Journal of Economics,Spring,1973
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[14]Grenadier S R,Weitzman A M.Investment in technological innovations:An option pricing approach[J].Journal of Financial Economics,1997,44(3):397-416
[15]Baldursson,F.Irreversible investment under uncertainty in oligopoly,Journal of Economic Dynamics and Control,1998,22,627-644
[16]Dixit A,Pindyck R.The Options Approach to Capital Investment,Harvard Business Review,1995,May-June,105-115.
[17]Kulatilaka N,Perotti E.Time-to-Market Capability as a Stackelberg Growth Option[R].Working Paper,Boston University and University of Amsterdam,December 1998;and also presented at the 3rd Annual International Conference on Real Options,The Netherland
[18] Kulatilaka, N. Operating Flexibilities in Capital Budgeting : Substitutability and Complemen-tarity in Real Options[A]. In: Trigeorgis, L. Real Options in Capital Investments: Models, Strat-egies, and Applications. Westport, Conn: Praeger, 1995,121-132.
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[20] Kulatilaka, N. Valuing the flexibility of flexible manufacturing systems, IEEE Transactions on Engineering Management, 1988,35 (4), 250-257.
[21] Kulatilaka, N., and A. Marcus. Valuing Employee Stock Options. Financial Analysis Journal, 2004, November-December, 46-56.
[22] Kester, W.C. Today's Options for Tomorrow's Growth, Harvard Business Review, March-April 2004,153-160
[23] Mason S P, Merton R C.The Role of Contingent Claim Analysis in Corporate Finance,in E.I. Altaian and M. Subrahmanyam(eds), Recent Advances in Corporate Finance (Homewood, IL:Richard D. Irw.2003.
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[25] Merton R C. On the Pricing of Contingent Claims and the Modigliani-Miller Theorem, Journal of Financial Economics, 1977.5(3),241-249.
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