基于实物期权的稀土商业储备决策分析  

Decision-making analysis of rare earth reserves based on real options

作　　者：张维[1] 张帆[2] 帅传敏[3] ZHANG Wei;ZHANG Fan;SHUAI Chuanmin(Economics and Management Research Center of Geological Resource, East China Institute of Technology,Nanchang 330013,China;School of Economics and Management,East China Institute of Technology,Nanchang 330013,China;School of Economics and Management,China University of Geosciences(Wuhan),Wuhan 430074,China)

机构地区：[1]东华理工大学地质资源经济与管理研究中心,江西南昌330013 [2]东华理工大学经济与管理学院,江西南昌330013 [3]中国地质大学(武汉)经济管理学院,湖北武汉430074

出　　处：《中国矿业》2018年第10期65-69,74,共6页China Mining Magazine

基　　金：江西省高校人文社科项目资助(编号:JJ1441);东华理工大学地质资源经济与管理研究中心项目资助(编号:12JJ03);东华理工大学校长基金项目资助(编号:DHXW1204)

摘　　要：稀土储备已被设定为国家战略储备。稀土战略储备体系的建设需要将国家储备和商业储备相结合,其中商业储备是基础。稀土储备项目的经济性通常借助净现值(NPV)进行判断,考虑到储备决策过程中企业拥有的选择权,本文结合实物期权对商业稀土储备决策进行分析:首先计算企业进行稀土储备的价格临界点;然后通过分析稀土价格的分布特征,在不对未来行情进行过多预测的情况下,估算出企业放弃稀土储备可能导致损失的概率。案例计算中,文章不仅对比了实物期权和NPV方法对企业稀土储备决策的不同影响;还估算了4种价格指数、2种收益率和2种风险波动率的不同组合下,企业放弃稀土储备可能导致的损失概率。结果显示:(1)实物期权理念的引入可能导致企业不同的决策行为;(2)适度的市场波动有助于增加企业进行稀土储备的积极性,为了增加储备对企业的吸引力,应该维持一定的市场活跃度。The construction of rare earth strategic reserve system needs to combine national reserve with commercial reserve,in which commercial reserve is the foundation.The economy of the rare earth reserve project is usually judged by the net present value(NPV).Taking into account the option of enterprises in the process of reserve decision-making,this paper analyzes the decision of commercial rare earth reserves with real options.First of all,the article calculates the critical point of the price of rare earth reserves,then,by analyzing the distribution characteristics of rare earth prices,it estimates the probability that the enterprise will abandon the rare earth reserves when it does not predict the future market too much.Finally,the empirical analysis is carried out by taking the decision of rare earth reserves as an example and compared with the net present value(NPV)decision method.The results show that:the introduction of real option theory may lead to different decision-making behavior;moderate market fluctuations can help enterprises to increase their reserves.

关 键 词：实物期权 稀土 储备 

分 类 号：F062.1[经济管理—政治经济学]