对冲法取代净现值法的理论依据及其应用价值  

Theoretical Basis and Appliance Value of Volatility Hedging Rule's Substitute of the Net Present Value Rule

作　　者：周洛华[1] 田立[2] 

机构地区：[1]上海大学国际工商与管理学院,上海200444 [2]哈尔滨商业大学金融学院,黑龙江哈尔滨150028

出　　处：《上海财经大学学报（哲学社会科学版）》2008年第2期79-84,91,共7页Journal of Shanghai University of Finance and Economics

摘　　要：传统的项目评估理论的核心是基于财务评价的净现值法,它存在着严重的理论缺陷:(1)基本前提不符合实际;(2)资金成本无法客观判断项目的内在价值;(3)没有客观反映项目未来的风险因素;(4)容易造成项目可行性与经济周期预期的顺循环关系,并加剧经济周期。我们提出以构建资产波动率对冲组合的方法为基础,建立一套全新的项目评估理论,取代传统的净现值法,新方法不仅从根本上解决了传统理论存在的缺陷,而且为投资者提供了更加科学实用的评估方法。The essence of the traditional project assessment theory is based on the net present value rule which has some serious defects such as （1） assumptions do not correspond with the facts; （2） capital costs could not reflect the intrinsic value of a project objectively; （3） the future risks of a project are not exhibited as they should be; （4） the feasibility of a project could be falsely admitted due to the positive circulating relationship between a project and macro-economic cycles, which may deteriorate economic conditions. So, we suggest a brand new theory for the project assessment based on combinations of volatility hedg- ing positions to substitute the traditional rule of net present value. The new theory not only solves the defects in the traditional theory, but provides investors with a more scientific rule for the project assessment.

关 键 词：项目评估 波动率 对冲 净现值法 

分 类 号：F830.59[经济管理—金融学]