摘要
针对能源价格波动服从均值回归过程的特征,构建实物期权模型研究既有建筑节能改造的最优投资策略。采用数值方法定量分析节能改造项目的实物期权价值和最优投资阈值,并结合上海某住宅小区的节能改造案例探讨不确定参数的变化对投资阈值的影响。研究发现:当投资阈值高于能源价格时,投资主体会选择等待来降低风险;在能源价格波动率大、投资成本高或者无风险利率比较高时,投资主体会选择等待观望,规避风险。
Considering the characteristic that energy price fluctuation obeys the mean reversion process,a novel real options model is proposed to analyze the optimal investment strategies for energy transformation of existing buildings.The real option value and optimal investment threshold of energy transformation are analysed quantitatively by the mathematical derivation.Furthermore,the impact of uncertain parameters on investment threshold is discussed based on a case of energy transformation in a residential community in Shanghai.The results show that when the investment threshold is higher than the energy price,it is not a suitable opportunity to invest in energy transition projects.Furthermore,when the energy price volatility is high,the cost of energy transformation investment is large,or the risk-free interest rate is relatively high,investors will adopt a wait-and-see attitude to avoid risks.
作者
伊长生
陈兆明
陈宏晨
洪慧慧
YI Chang-sheng;CHEN Zhao-ming;CHEN Hong-chen;HONG Hui-hui(School of Management Science and Engineering,Anhui University of Technology,Ma'anshan 243032,China)
出处
《工程管理学报》
2022年第1期53-58,共6页
Journal of Engineering Management
基金
国家自然科学基金项目面上项目(71772002)
安徽省高校人文社会科学研究重大项目(SK2014ZD018).
关键词
既有建筑
节能改造
实物期权
均值回归
existing buildings
energy transformation
real options
mean reversion