Real option pricing method for R&D investment under changing risk-free rate and discount rate

The polynomial spline model, which belongs to the static term structure model of interest rates, is studied. Every cash flow of the project is discounted relatively accurately by obtaining the discount rate from the static term structure model of interest rates. A simple basic model, which belongs to the dynamic term structure model, is studied, and the option pricing formula under changing risk-free rates is obtained by bringing it into the option pricing formula. Both dynamic and static term structure models are estimated by the use of the data of buy-back rates and the Shanghai Stock Exchange, and an example is given to compare the differences between the traditional method and the method under the changes in the interest rates and the discount rates.

Choice of discount rate in reinforcement learning with long-delay rewards

In the world, most of the successes are results of longterm efforts. The reward of success is extremely high, but before that, a long-term investment process is required. People who are “myopic” only value short-term rewards and are unwilling to make early-stage investments, so they hardly get the ultimate success and the corresponding high rewards. Similarly, for a reinforcement learning(RL) model with long-delay rewards, the discount rate determines the strength of agent’s “farsightedness”.In order to enable the trained agent to make a chain of correct choices and succeed finally, the feasible region of the discount rate is obtained through mathematical derivation in this paper firstly. It satisfies the “farsightedness” requirement of agent. Afterwards, in order to avoid the complicated problem of solving implicit equations in the process of choosing feasible solutions,a simple method is explored and verified by theoreti cal demonstration and mathematical experiments. Then, a series of RL experiments are designed and implemented to verify the validity of theory. Finally, the model is extended from the finite process to the infinite process. The validity of the extended model is verified by theories and experiments. The whole research not only reveals the significance of the discount rate, but also provides a theoretical basis as well as a practical method for the choice of discount rate in future researches.

Discount Rate of China’s New Energy Power Industry

Under the dual pressures of energy crisis and environmental pollution,China’s new energy power industry has become a focal point for environmental management and requires greater investment.In this context,as a significant input of investment projects,discount rate requires a well-calibrated evaluation because new energy power investment projects are highly capital intensive.The main objective of this paper is to evaluate the discount rate of China’s new energy power industry.First,we use Moving Average to correct the parameters of capital asset pricing model(CAPM)and weighted average cost of capital,which extends the literature on the avoidance of CAPM noise information problem.Second,we study the industry-level annual discount rates of mainly China’s new energy power industries,including hydropower,nuclear power,wind power,and photovoltaic power industries for the period of 2014-2019.The results show that discount rates in China’s new energy power industries evolved differently between the years of 2014-2019 with average annual discount rates being 7.56%,5.83%,5.60%,and 8.64%,for the hydropower,nuclear power,wind power,and photovoltaic power industries,respectively.In 2019,the four annual discount rates were highest for the photovoltaic power industry(8.66%),followed by hydropower(7.17%),wind power(5.72%),and nuclear power industry(5.26%).Forecasting to 2020 from the 2019 evaluation base period,the discount rates are 6.37%,5.00%,6.57%,and 9.05%for the photovoltaic power,hydropower,wind power,and nuclear power industries,respectively.Under the different capital structures,their forecasts for the photovoltaic power,hydropower,wind power,and nuclear power industries in 2020 are,respectively,within[4.35%,9.24%],[3.92%,7.10%],[4.58%,10.40%],[5.46%,14.81%].We also discussed more details on capital structure and forecast period of discount rates for China’s new energy power industries.Our analysis shows that it is necessary to establish a new energy power industry database and steadily promote the implementation of policies.

The Discount Rate in Terms of Evaluating Investments in Rangelands： The Case Study of Greece

This paper aims at analyzing and evaluating investments in rangeland management through the use of the discount rate tool. The most important parameter which is considered when estimating the discount rate is the lifetime of the investment, which varies depending on the kind of the intervention. An undeniable characteristic of rangelands is their rich biodiversity. However, the fact that not all the flora and fauna has been recorded yet, suggests the need for using the lowest possible discount rate （but not zero）, giving thus a high value on the benefits that will arise for future generations always in the light of sustainable development. At the same time, a sensitivity analysis has to be performed in order to determine the upper and lower limit of return on investment, so that the decision-maker in charge can be more flexible on the evaluation Of an investment proposal.

Exchange rate,discount rate,interest rate and depreciation rate

exchange rate:汇率,外汇汇率,指一个国家的货币和另一个国家的货币的比价。中国人民银行每天公布人民币市场汇价。如:market Exchange Rates in RMB yuan set by the People’s Bank ofChina(September 4,1998)Currency Unit RateUS dollar 100 828.00Japanese yen 100 6.0291German mark 100 478.

Discount rate and research progress in economic analysis on climate change

This paper has organized and summarized the economic analysis on climate change from five angles,namely,connotation of discount rate,identification of and dispute about discount rate,discounting way,impact of the discount rate,and the integrated evaluation model of climate change impact and the discount evaluation.As the climate change economic analysis shows,there is a major dispute about discount rate between the market school and the ethic school.Rate of discount largely relates to the present value of potential loss attributable to climate change,and then influences the selection of policies for adapting and slowing down climate change.In the past,the constant index discount was adopted as the main way.But with the full understanding of discount rate,the uncertainty of loss attributable to climate change has been considered in the discount.

Could we remain simply applying discount rate to evaluate the life quality of our future generations?

When we try to estimate future environmental costs resulting from our current economic activities,we usually calculate the present value of the consequences for our future generations by utilizing a discount rate as a standard economic procedure.The popularity of this procedure is solely supported by its simplicity which assumes:(1)a perfect financial market over even 100 years,and(2)existence of a stable time preference between two consecutive periods for an individual consumer.An apparent deficiency of this approach is that the present value of life quality of future generations varies to a large extent along an arbitrarily chosen discount rate.As a matter of fact,the discount rate,which could reflect the time preference as2%or 5%,matters when we predict current strategies of environmental protection for future generations.Simply applying a discount rate to evaluate the quality of our future generation,without clarifying the actual production mechanism behind this,is almost to the same as ignoring the fact that all of the goods are produced through an actual production process and that environmental degradation reduces the efficiency of that process.The greatest concern for our future generations should not be given by an assumed discount rate,since the discount rate itself is determined by financial market conditions at certain points in time.

The Impact of Discount Rate and Price on Intertemporal Groundwater Models in Southwest Kansas

Agriculture plays a vital role in the growth and development of the High Plains Region of the United States. With the development and adoption of irrigation technology, this region was transformed into one of the most agriculturally productive regions in the world [1]. The primary source of irrigation in this region is the Ogallala Aquifer. Currently, water from the aquifer is being used at a much faster rate than natural recharge can occur, resulting in a high rate of depletion from this finite resource. Depletion of scarce water resources will have a significant economic impact on the long-term sustainability of the region. The objective of this study is to evaluate the impact alternative prices and discount rates have on groundwater policy recommendations. Deterministic models of groundwater withdrawals were developed and used in order to analyze and evaluate the impact of high, average, and low crop prices in a status quo scenario as well as a policy scenario reducing irrigated acreage allocation. Furthermore, this study analyzes the effects and associated consequences of alternative discount rates on net and total revenue. As indicated by results of this study, alternative prices, costs, and discount rates utilized in a model have an effect on policy effectiveness.

碳减排“时-空-效-益”统筹理论:I.时间统筹

在气候变化应对过程中,面临一种纵向的代际统筹,即当前人类应当或者愿意付出多大代价来避免未来可能发生的气候变化损失。对这一问题的回答关乎当代人与后代人的利益,需要权衡当前减缓气候变化的成本和未来气候变化带来的损失。然而,当前国际上对贴现率和跨期均衡路径的探讨暂未得出明确方案,亟需形成统筹长期与短期的碳减排理论,以指导相关减排路径设计。作为碳减排“时-空-效-益”统筹理论系列论文的组成部分,聚焦于碳减排的时间统筹,构建了跨期均衡路径,并设置了积极但不激进的贴现率,从而统筹当前减缓气候变化的成本和未来气候变化带来的损失,回答碳减排的跨期责任分担与成本分配等问题,应用于CEEP-BIT自主开发的中国气候变化综合评估模型(C3IAM)等气候环境治理与碳减排路径的研究中,为统筹长期减排与短期减排提供方法基础。

太原市垃圾处理PPP项目物有所值定量评价优化研究

以太原市垃圾处理PPP项目为研究对象,对物有所值定量评价方法进行优化。折现率方面,选择资本资产定价模型,计算体现行业特色的基础折现率,考虑通货膨胀因素,采用时间序列分析加以修正;风险分担方面,采用ANP——模糊综合评价法计算共担风险因素的政府和项目公司分担比例;风险量化方面,运用梯形模糊层次法确定风险损失权重,运用集值统计法确定风险发生概率。

不动产信托投资基金投资风险识别与价值影响量化研究——以招商局商业房托基金为例

REITs底层资产类型的扩容及已上市REITs的扩募,均需要不断对各类型、各时期的REITs底层资产价值进行审视,REITs价值评估变得至关重要,其中对投资风险的分析及其对投资价值的影响成为一个关键问题。文章分析REITs投资的风险来源,识别其主要宏观及微观风险,发现在美国、新加坡和中国香港REITs市场上宏观经济及资本市场对REITs投资收益的波动影响较小,主要风险来自微观层面。进而基于这些风险来源讨论REITs投资价值确定中主要风险度量参数—折现率的确定问题,提出三种公募REITs折现率的测算方法:基于同类上市房企β值的累加法、物业资本化率平均调整法、同类REITs收益率类比法。并以招商局商业房托基金(1503.HK)为例,采用三种方法量化其IPO定价中的折现率,为REITs投融资中合理估值的确定提供理论依据与实践建议。

基于试验数据的人工用材林最优轮伐期确定的研究进展

虽然用材林轮伐期研究长期受到国内外众多学者的关注,但有关轮伐期的内涵、轮伐期确定的标准、轮伐期模型选择以及相关变量对轮伐期的影响等方面,依然是众说纷纭,无法为构建用材林提质增效培育模式提供坚实的理论基础。本文通过梳理国内外有关轮伐期确定方面的研究成果,并以我国杉木用材林试验数据作为支撑,意在展示不同轮伐期确定准则、方法和相关影响因素对轮伐期确定的作用机理和过程,并对未来轮伐期的研究方向进行了展望。

特质焦虑与跨期决策的关系:自我损耗的中介作用和时间洞察力调节作用

目的:探究自我损耗在特质焦虑与跨期决策之间的中介作用以及时间洞察力的调节作用。方法:采用特质焦虑量表、自我损耗量表、金钱选择问卷、时间洞察力量表对536名大学生进行问卷调查。结果:(1)自我损耗在特质焦虑与延迟折扣率之间起完全中介作用β=0.19,95%CI为[0.07,0.30];(2)平衡时间洞察力的反向指标(DBTP)与时间洞察力维度中的现在冲动、现在宿命与未来维度和在自我损耗与延迟折扣率的关系中分别起调节作用(β=0.09,0.10,0.11,-0.07;P<0.05)。结论:特质焦虑能够增加个体的自我损耗,进而促使个体选择即时奖励。对于持DBTP以及现在冲动和现在宿命倾向的个体,这种促进作用会增强,对于持未来倾向的个体,这种促进作用会减弱。

油气项目风险识别与评估方法探讨

绿色低碳、能源转型已经是全球普遍共识和一致行动,中国能源企业在变革中既要保障国家能源安全、实现增储上产,又要推动跨越式发展、增强企业核心竞争力。因而在企业进行投资活动时,对目标项目的开发风险和潜力因素进行充分且全面分析,并以此为基础进行油气资产的价值评估,是实现科学决策的基础。文章重点分析了油气项目面临的主要风险以及应对各类风险的分析方法。通过更合理准确的油气项目资产价值评估结果,能够降低企业投资决策风险,为企业的健康稳健发展提供必要保障。

Research on Sales Strategy Based on Supermarket Pipeline Data

“Low profit and high sales” is a strategy to increase sales volume by reducing the profit of unit goods, so that businesses can gain more profits. For flexible goods, price reduction can increase the total revenue, but when the goods are lack of flexibility, price reduction will reduce the total revenue. In this paper, according to the sales data provided by a supermarket, we preprocess the data, establish appropriate indicators to measure the daily discount strength of the mall, and establish a mathematical model between the discount strength, sales and profit margin. Through these models, we found that meager profits do bring up sales, but too low discounts can also hurt total profits. In addition, when shopping malls implement discount promotions, they will also bring some negative effects, and we give some suggestions for this.

Continuing Value Calculation with Discounted Cash Flows Method： An Application Example for Tekart Tourism Establishment Whose Shares Are Dealt in Istanbul Stock Exchange

Valuation is stated as monetary value belonging to firm assets （Verginis ＆ Taylor, 2004）. According to M. L. Rock, R. H. Rock, and Sikora （1994）, valuation is the answer of the following questions： What is the maximum price that will be paid for the firm？ What are the risk areas？ What are the results of cash flows, profitability, and balance-sheet？ Chambers （2005, p. 5）, on the other hand, estimated a probable price that will be paid for the goods and service at a specific time. For the calculation of continuing value （CV）, Verginis and Taylor （2004） used discounted cash flows （DCF） method and Onal, Karadeniz, and Kandlr （2005） used economic profit method. Klrh （2005） suggested Continuous and Constant Growing Model （Gordon Model）, Value Driver Model, and Economic Profit Model. In this study, DCF which is suggested by Onal et al. （2005） and Verginis and Taylor （2004） is used for the aim of determining CV of the firm at issue. In this study, analyses are made by using the financial statement data of a tourism business whose shares are dealt in Istanbul Stock Exchange. In consequence of the calculations, CV of the examined firm is found to be 7,485,402 TL and firm value is found to be 15,195,366 TL.

城镇居民节能行为、能源效率缺口与公共政策基于国内30个省份城镇居民的调查

城镇居民的节能行为反映了我国能源需求端的利用效率,在一定程度上也对我国能源供给侧转型升级提出新的要求。本文通过问卷形式对我国城镇居民的节能投资和习惯行为进行调查,在此基础上对其能源效率缺口进行分析。结果显示:城镇居民节能行为与其受教育程度和收入水平相关,受教育程度和收入水平越高的城镇居民节能投资意愿越强烈,收入水平的高低与采取节能习惯行为的意愿呈现“U”形关系;从城镇居民节能投资行为来看,城镇居民对冰箱、空调节能产品主观贴现率较高,所形成的能源效率缺口较小,对新能源汽车主观贴现率较低且能源效率缺口较大,通过设置碳价格和政府补助的政策干预措施能够有效弥补能源效率缺口。

基于期权价值模型的企业应对气候变化最优投资决策

全球气候变化引起了世界各地的广泛关注,国际社会呼吁严格控制与能源相关的二氧化碳排放,企业实施节能减排投资是减缓气候变化的重要策略。基于期权价值理论,本文提出了一个企业依据产出水平应对气候变化不确定性的节能减排投资决策规则。首先给出了一个传统的企业投资决策规则;然后在期权价值理论基础上,构建了一个不确定性产出模型,并分别基于不同的减排成本函数形式,推导出新的企业最优减排项目投资规则;最后进行数值模拟,分析了气候变化不确定性和社会贴现率等因素对企业最优投资时点的影响及企业投资期权价值的动态变化路径,验证了该投资规则的适用性。本研究设计的企业最优适应性投资规则考虑了气候变化的不确定性和贴现率,可以为企业应对气候变化的投资决策提供理论指导,具有重要的实践意义。

Q学习演化博弈中决策机制对网络合作水平的影响

针对博弈决策过程中个体无法获取邻居收益的问题,基于Q学习自我经验学习的特性,提出Q学习演化博弈模型。考虑到不同Q学习决策机制会对网络合作水平产生不同的影响,采用ε-greedy决策机制、Boltzmann决策机制和Max-plus决策机制,针对不同的网络类型、不同的博弈模型参数和不同的强化学习参数进行对比实验,量化分析决策机制对网络合作水平的影响。实验结果表明:与传统的演化博弈模型相比,Q学习演化博弈模型能够普遍提高网络的合作水平,并且不同的Q学习决策机制会对网络合作水平产生不同的影响,使用ε-greedy决策机制的模型合作水平比另两种模型高约35%和37%;较低的学习率、较高的折扣率以及适中的收益均匀性能够促进网络中个体间的合作,使用ε-greedy决策机制的模型合作水平比在较高学习率和较低折扣率下的合作水平分别高约40%和45%;在较高的探索率下,引入考虑个体全局属性的Max-plus决策机制的网络平均收益比引入另两种决策机制的Q学习模型高约22%和17%。

EXPECTED DISCOUNTED PENALTY FUNCTION OF ERLANG(2) RISK MODEL WITH CONSTANT INTEREST

The purpose of this paper is to consider the expected value of a discounted penalty due at ruin in the Erlang（2） risk process under constant interest force. An integro-differential equation satisfied by the expected value and a second-order differential equation for the Laplace transform of the expected value are derived. In addition, the paper will present the recursive algorithm for the joint distribution of the surplus immediately before ruin and the deficit at ruin. Finally, by the differential equation, the defective renewal equation and the explicit expression for the expected value are given in the interest-free case.