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 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.

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.

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。

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.

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.

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。

三江平原湿地生态系统生物多样性保护价值

生物多样性保护是三江平原湿地生态系统提供的一项重要的生态服务功能,具有重要的经济价值。应用M.Hoel和T.Sterner提出的经济模型,分析了贴现率和边际价格变化综合影响下的三江平原湿地生态系统生物多样性保护价值变化过程,研究了收入边际效用弹性和替代弹性对贴现率和边际价格变化综合效应的影响,并通过对比传统贴现方法揭示了三江平原湿地生态系统生物多样性保护所蕴含的巨大经济价值。研究结果表明,在贴现率和边际价格变化的综合影响下,三江平原湿地生态系统生物多样性保护价值曲线呈现出先增长再下降的变化趋势,总经济价值为人均19438.9元;收入边际效用弹性和替代弹性的取值对价值评估结果的影响较大,不同参数条件下的价值评估结果将最终作用于湿地生态系统保护相关决策的制定;价值评估结果同样证明了在保持经济较快速度发展的同时提高三江平原湿地生态系统生物多样性保护功能的恢复速率对于促进地区经济协调发展和提高社会福祉状况具有重要的现实意义。

并网光伏发电项目的LCOE分析

围绕并网光伏发电系统的度电成本/平准化电力成本(LCOE)水平进行了分析讨论。针对LCOE的评估依据和测算方法,提出一种适用于我国光伏发电项目的 LCOE评估模型。利用该模型对影响LCOE的几个典型因素进行了敏感性分析;测算了我国光伏发电项目的 LCOE水平;预测了光伏发电项目的 LCOE发展。

公路隧道通风CO、烟雾基准排放量折减率研究

针对公路隧道通风设计环节需风量计算是整个设计的基本依据，而计算中CO及烟雾基准排放量折减率的取值对远期需风量影响很大这一特点，列举分析机动车排放污染物组成、欧盟汽车排放标准限制值以及PIARC对机动车的排放规定，得出我国汽车排放标准沿袭欧盟法规的进度和实施现行排放标准的4个阶段时间划分。通过对CO、烟雾年折减系数取值以及CO、烟雾基准排放量折减的分析，结合国内严格的排放限制无论从国内外环保要求，还是汽车工业技术的发展进步以及法律法规的规定，目前我国《公路隧道通风照明设计规范》所规定的1％-2％年折减率均是偏于保守的，在实际隧道通风设计中应综合分析，因“隧”制宜，将需风量在保证运营安全的情况下控制在合理的范围内。