【摘要】：高速公路作為重要的公益性基礎(chǔ)設(shè)施建設(shè)項(xiàng)目，對(duì)一個(gè)國(guó)家或一個(gè)地區(qū)的經(jīng)濟(jì)和社會(huì)發(fā)展均起著至關(guān)重要的作用。高速公路建設(shè)項(xiàng)目具有投資規(guī)模大、周期長(zhǎng)、階段多、不確定因素多等特點(diǎn)，伴隨我國(guó)物價(jià)、征地拆遷數(shù)量和費(fèi)用、工程規(guī)模、生態(tài)環(huán)保工程的增加，高速公路投資風(fēng)險(xiǎn)顯著增加，只關(guān)注高速公路的經(jīng)濟(jì)效益指標(biāo)的方法已不適宜，如何權(quán)衡效益和風(fēng)險(xiǎn)兩者之間的關(guān)系對(duì)于合理開(kāi)展高速公路決策，選擇最優(yōu)的投資方案有著重要的意義。 傳統(tǒng)的高速公路投資決策的方法采用的是現(xiàn)金流量折現(xiàn)法，這種方法沒(méi)有考慮項(xiàng)目未來(lái)現(xiàn)金流量的不確定性。因此，本文將蒙特卡洛風(fēng)險(xiǎn)模擬分析與現(xiàn)金流量折現(xiàn)法相結(jié)合，引入我國(guó)高速公路建設(shè)項(xiàng)目的風(fēng)險(xiǎn)的分析，與敏感性分析法相比，蒙特卡洛風(fēng)險(xiǎn)模擬方法可以根據(jù)歷史數(shù)據(jù)擬合風(fēng)險(xiǎn)因素的分布，并得到計(jì)算結(jié)果的概率分布曲線和參數(shù)，從而更加直觀地反映項(xiàng)目的效益和風(fēng)險(xiǎn)。 在多個(gè)高速公路項(xiàng)目組合決策上，本文提出了將蒙特卡洛風(fēng)險(xiǎn)模擬方法和遺傳算法相結(jié)合的方法，該方法可以分別求解總凈現(xiàn)值的均值最大和總的凈現(xiàn)值的方差最小的兩個(gè)目標(biāo)下的投資組合方案的最優(yōu)解集。并引入了馬科維茲的均值—方差理論，對(duì)這兩個(gè)解集進(jìn)行效益—風(fēng)險(xiǎn)的平衡分析，求出投資組合方式的帕累托解集。最后，根據(jù)決策者效用的無(wú)差異曲線，，求解對(duì)于不同風(fēng)險(xiǎn)厭惡程度的決策者而言最優(yōu)的投資組合方式。 通過(guò)對(duì)浙江省“十二五”期間新建的6條高速公路進(jìn)行案例分析，研究結(jié)果表明，與傳統(tǒng)的方法相比，使用蒙特卡洛風(fēng)險(xiǎn)模擬方法提高了項(xiàng)目由于未來(lái)現(xiàn)金流量的不確定性增加的期權(quán)的價(jià)值。另一方面，在解決高速公路投資組合決策問(wèn)題上，通過(guò)融入蒙特卡洛風(fēng)險(xiǎn)模擬方法，可以求出基于效益-風(fēng)險(xiǎn)平衡的投資組合方案的帕累托解集，也可以用來(lái)進(jìn)行不同方案之間的比較選擇，具有較好的應(yīng)用價(jià)值，一定程度上為高速公路建設(shè)項(xiàng)目的風(fēng)險(xiǎn)管理與決策提供了技術(shù)和方法上的支持。
[Abstract]:Highway, as an important public welfare infrastructure construction project, plays a vital role in the economic and social development of a country or a region. Expressway construction projects have the characteristics of large scale of investment, long period, many stages and many uncertain factors. With the increase of price, quantity and cost of land requisition and demolition, project scale, ecological environmental protection project, etc. The risk of expressway investment has increased significantly, so it is not appropriate to focus only on the economic benefit index of expressway. How to balance the relationship between benefit and risk is very important to carry out expressway decision-making. It is of great significance to choose the best investment scheme. The traditional method of highway investment decision is discounted cash flow, which does not take into account the uncertainty of future cash flow. Therefore, this paper combines the Monte Carlo risk simulation analysis with the cash flow discounted method, and introduces the risk analysis of highway construction projects in China, compared with the sensitivity analysis method. Monte Carlo risk simulation method can fit the distribution of risk factors according to historical data, and obtain the probability distribution curve and parameters of the calculated results, thus more intuitively reflecting the benefits and risks of the project. In this paper, the method of combining Monte Carlo risk simulation method with genetic algorithm is put forward in the decision making of several expressway projects. This method can solve the optimal solution sets of portfolio schemes with the maximum mean value of total net present value and the minimum variance of total net present value, respectively. The mean-variance theory of Markowitz is introduced to analyze the benefit-risk balance of the two solutions, and the Pareto solution set of portfolio is obtained. Finally, according to the no-difference curve of decision-maker utility, the optimal portfolio method for decision-makers with different degree of risk aversion is solved. Through the case study of 6 new expressways built during the 12th Five-Year Plan in Zhejiang Province, the results show that, compared with the traditional methods, Monte Carlo risk simulation method is used to increase the value of options that increase the uncertainty of future cash flow. On the other hand, in solving the problem of freeway investment portfolio decision, by incorporating Monte Carlo risk simulation method, the Pareto solution set of portfolio scheme based on benefit and risk balance can be obtained. It can also be used to compare and choose different schemes, which has good application value and provides technical and methodological support for risk management and decision making of expressway construction projects to a certain extent.
【學(xué)位授予單位】：長(zhǎng)安大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：U412.366;F542

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