平均收益期在工程投资互斥方案评价中的应用

Average duration of return for evaluation of mutually exclusive projects

在工程投资项目的经济评价中,常需要对若干互斥方案进行方案比选,净现值(NPV)最大准则是可靠的方法,而单纯依靠内部收益率(IRR)最大可能会得到错误的结论。但NPV最大仅反映了财富最大化,并未反映资金利用效率。本文借鉴金融学中麦考利存续期(Macaulay duration,即加权平均任期),引入能够更好地反映资金利用效率的现金流平均收益期(DR)指标,探讨它与NPV和IRR之间的相互关系,发现当方案的平均收益期和内部收益率趋势相同,必然导致折现值会有相同趋势。本文还揭示了DR值的直观几何含义,这能够简化经济效果的评价方法。同时,本文针对互斥投资方案中的特殊形式修正了平均收益期的概念,使得修正值和原值在项目IRR附近具有明显的相关关系。最后,本文还在非常规投资项目中应用DR指标对项目NPV图进行区域分化,并赋予不同的经济含义。这些定量的研究结果对于应用平均收益期进行互斥方案辅助决策分析有重要的意义。

Net Present Value （NPV） and Internal Rate of Return （IRR） are the widely-used tools for evaluating mutually exclusive projects. Maximization of NPV is a reliable criterion, while IRR maximization may lead to a wrong decision. Borrowing the concept of Macaulay Duration from financial economics, an index of cash flow weighted average Duration of Return （DR） is set forth to better reflect the cash flow efficiency of a project. Relationships of DR with NPV and IRR are examined. It is found that for two mutually exclusive projects, if their DRs and IRRs bear the same relationships, NPV will also follow the same relationship direction. The geometric implication of DR is shown, which can simplify the economic evaluation process. A modified average duration of return is introduced to the evaluation of mutually exclusive projects, and it is found that this index is highly correlated with its original value around the IRR point. Based on the DR index, the NPV chart of non-conventional projects can be divided into different parts with specific economic implications.