Investment Decision-making Research for PPP Based on Real Option

【摘要 (中文/英文)】 本文针对PPP项目融资模式的特点,分析了用传统净现值方法做项目投资决策评价的缺陷,进而引入了用实物期权理论分析的方法,对PPP项目进行投资决策评价,建立数学模型对PPP项目的投资价值进行定量研究。 本文明确了实物期权定价方法在PPP项目投资决策中的适用性,提出了PPP项目中存在实物期权,并阐明了PPP项目中运用实物期权分析方法的原则及其应用在PPP项目投资决策评价中的应用程序。 建立了PPP项目增长期权的数学模型,实现了对项目投资决策评价的定量分析。并针对模型含有价值损失的情况对模型进行了修正,使模型具有更实际应用价值。 提出了项目投资决策的博弈论分析方法,分析PPP项目中存在的期权博弈,运用博弈论方法分析了PPP项目中增长期权的价值,进一步验证了本文建立的PPP项目投资决策评价模型的可*性。 通过我国目前最典型的PPP项目运作模式——北京地铁四号线项目的PPP模式研究,及其项目价值的传统NPV和实物期权方法的分别计算,验证了本文的研究成果:实物期权方法充分考虑进了投资机会的价值,避免了使用传统净现值投资决策评价结果导致错失投资机会的状况,也验证了本文建立的投资决策评价数学模型的实际应...更多用价值。 

 This article analyses the defects of the traditional Net Present Value principle based on the characteristics of PPP project financing model, then with the introduce of the real options theory analysis of the PPP project investment decision-making evaluation, and establishes a mathematical model of a quantitative study. This article clarifies the applicability of the real options pricing principle in the PPP project investment decision-making, and proposes that there is the real option exists in the PPP projects, and clarifies the application of how to use real options principle to evaluate the value of the PPP projects, consequently, make the investment decisions of PPP projects. This article establishes a mathematical model of PPP projects' growth options, and makes the quantitative analysis of evaluation of the investment decision-making. We also amend the model against the situation that there is the loss of value with the projects so that the model has more practical value. This article analysis the investment decision-making game theory, analysis the options game of the PPP projects, evaluates the value of the PPP projects using option game theory methods. Thereby, further verify the reliability of model establishes in this paper, the PPP project investment decision-making pricing model. Through researching the most typical mode of operation of the PPP project, Beijing Metro Line 4 project on the PPP model, and its traditional NPV value and method of real options value were calculated separately, so we can certificates of the results of research on this: real options theory full taking into account the value of the investment opportunities and avoid the use of traditional NPV of the investment decision-making evaluation resulted in missed investment opportunities, also verified the effectiveness of mathematical models established in this article, the investment decision-making model.

【关键词 (中文/英文)】 实物期权; PPP项目; 投资决策; 博弈检验

Real option ; PPP project; Investment decision-making; Game test