核准与收益不确定性条件下的项目投资决策研究

Investment decision in project with dual uncertainties from examination and benefit flow

基于实物期权理论和序贯投资决策理论,建立了政府核准和项目现金流双重不确定条件下的项目投资决策模型.针对两种随机变量的非齐次特征,利用Riskoptimizer软件包设计仿真优化算法进行求解.在给定算例的条件下,定量刻画了核准耗时、核准成本、核准通过率等核准不确定性因素和项目收益对项目投资决策的共同影响.

Investment decision in new project under examination uncertainty and benefit flow is studied in this paper. Based on real option theory, a sequential decision model is built up for starting examination process and starting construction process in which the above dual-uncertainties are both involved. For the different characteristics of these two uncertainties, the simulation and optimization algorithm is designed based on Riskoptimizer software package. A numerical example and the sensitivity analysis describe the quantitative influences on the optimal starting time by examination and project benefit uncertainties.