实物期权在航运企业船舶投资决策中的应用

航运业是一个具有特殊风险的行业,然而传统的船舶投资决策却总是忽略不确定性对投资价值的影响。将实物期权运用到航运企业船舶投资决策中,运用布莱克-舒尔斯的期权定价公式,得出含有实物期权的投资价值和一般的投资价值,定量地分析了不确定性对投资价值的影响,使船舶投资价值与决策相一致,最终使航运企业获得最大的投资收益。     

Assessment of investment decision in the dry bulk shipping market based on real options thinking and the shipping cycle perspective

As the dry bulk shipping market seems to have been stuck in a trough period for a long time, investors need to pay more attention to their investment strategies to survive during this period. This study aimed to find a suitable model to assess dry bulk ship investment decisions in the tough and peak periods based on real options theories. Two options, involving an abandonment option and a deferrable option, were used to define investors’ responses to the uncertainty in investment processes such as stopping or selling vessels. The option valuation was solved by using a binomial valuation model, due to data limitations. In accordance with shipping cycle theories, different volatility parameters for the tough and peak periods were calculated using a generalized autoregressive conditional heteroskedasticity (GARCH) model. The application of the real options model to a case study involving secondhand ship trading indicated its viability. According to the results of the case study, the new model has advantages over the traditional net present value (NPV) method in uncertain investment environments. Thus, the results demonstrate that the real options model is a more suitable method for use in the current dry bulk shipping market.     

国际航运投资决策应用实物期权方法的分析

从国际航运的投资特点出发,通过实物期权方法与现行方法的比较,分析了国际航运投资决策应用实物期权方法的必要性与可行性,初步提出了国际航运投资项目存在的八种灵活性及其相应的实物期权。     

市场随机波动下干散货和原油船投资决策研究

运用实物期权博弈理论,建立了航运市场随机波动情况下干散货和原油船舶的投资决策模型,得出了承运人之间同质竞争和差异化竞争时船舶的最优投资准则.理论研究和实证分析均表明:承运人的收益和投资船舶的边际收益随航运市场规模和风险的增加而增加;最优的船舶投资量与航运市场的规模和风险正相关;随着航运市场竞争的加剧,承运人的收益和最优的船舶投资量呈下降趋势;随着承运人之间服务差异化程度的增加,承运人的收益和最优的船舶投资量呈上升趋势.     

Investment strategies in market uncertainty

The nature of the global economy is one of dynamic change. Shipping is a service industry with its demand related to changes in international trade levels and patterns. As a consequence shipping is subject to sometimes unpredictable swings in demand so that the operator is required to make strategic planning decisions while navigating through boom or bust environments. While boom economies generate rising freight rates which are welcomed and encourage investment, ship operators may also have to face falling freight demand and declining freight rates that may have significant impact on profitability, often falling to uneconomic levels for extended periods. In such a period of uncertainty and declining profitability management will make operational decisions to reduce costs. However, shipping lines operate in a market environment so any decisions made to rationalize the trade may have significant long-term competitive implications. For example, traditional micro economic theory might suggest that the prudent strategy to adopt would be to close down the operation and reopen when the market conditions improve. In a world of certainty or when costs of taking this action are zero, this would be a valid strategy. However, because of fear of competitors taking up a line's market share if the shipping company exits, even temporarily, this strategy cannot be valued simply in terms of shut-down and start-up costs. A further consideration is the fact that standard capital budgeting techniques, such as Net Present Value (NPV), cannot incorporate the flexibility to respond to new information and strategic responses explicitly into their investment analysis. This paper will demonstrate the use of Real Option Analysis (ROA) to provide guidelines for decisions about closing operations in adverse market conditions.     

基于实物期权的资本预算问题探讨

投资决策可以根据市场变化进行调整即表现出具有柔性的特点,实物期权的投资决策方法(Real—Options Approach,ROA)可以较好的体现投资柔性所具有的价值。本文介绍实物期权产生,概念及方法并研究了实物期权投资决策方法的具体运用。     

Investment strategies in market uncertainty

The nature of the global economy is one of dynamic change. Shipping is a service industry with its demand related to changes in international trade levels and patterns. As a consequence shipping is subject to sometimes unpredictable swings in demand so that the operator is required to make strategic planning decisions while navigating through boom or bust environments. While boom economies generate rising freight rates which are welcomed and encourage investment, ship operators may also have to face falling freight demand and declining freight rates that may have significant impact on profitability, often falling to uneconomic levels for extended periods. In such a period of uncertainty and declining profitability management will make operational decisions to reduce costs. However, shipping lines operate in a market environment so any decisions made to rationalize the trade may have significant long-term competitive implications. For example, traditional micro economic theory might suggest that the prudent strategy to adopt would be to close down the operation and reopen when the market conditions improve. In a world of certainty or when costs of taking this action are zero, this would be a valid strategy. However, because of fear of competitors taking up a line's market share if the shipping company exits, even temporarily, this strategy cannot be valued simply in terms of shut-down and start-up costs. A further consideration is the fact that standard capital budgeting techniques, such as Net Present Value (NPV), cannot incorporate the flexibility to respond to new information and strategic responses explicitly into their investment analysis. This paper will demonstrate the use of Real Option Analysis (ROA) to provide guidelines for decisions about closing operations in adverse market conditions.     

Terminal investment timing decisions in a competitive setting with uncertainty using a real option approach

This paper uses a real option approach to analyze terminal investment timing decisions for situations in which a port faces competition from its rivals in an uncertain market. We propose a network model to describe carriers’ cargo routing decisions and competition among rival ports. We then transform this model into a multicommodity flow problem and use the column generation algorithm to solve it. After obtaining a port’s possible future annual revenues and the potential net present value (NPV) for its terminal construction project through the network model, we adopt the expanded NPV rule and transform the investment timing decision into an optimal stopping problem. A least squares Monte Carlo simulation algorithm is proposed to find the investing probabilities for future years. The proposed models are applied to a steel cargo terminal investment case in the Port of Bengbu in Anhui province of China. The impacts on the investing probability and the expanded NPV of changes in the demand volatility, the initial investment and the port discharging rate are analyzed to provide managerial insights for port managers.     

水运建设项目经济评价净现值法的缺陷及对策

从净现值法的基本假设出发，首先分析净现值法在水运建设项目经济评价中存在的问题，指出用净现值法无法预估项目的不确定性价值。然后提出引入实物期权对净现值法进行修正的基本方法，为水运建设项目的投资决策提供了一个崭新的决策思路。     

Evaluation of political risk in a shipping project

Shipping projects, as land-based ones, are evaluated by using different measures of merit based on discounted cash flows. The bulk carrying industry, where costs are known better than revenues, adopted the required freight rate (RFR) and its derivative the economic cost of transport (ECT) as its major measures of merit. Shipping is a business exposed to many unforeseen risks. Although many of these risks are beyond the control of the shipowners/operators, they should all be carefully weighed during the process of project selection designed for investment decisions. One such risk is the expropriation of shore-based facilities built by the shipping operator at one or more termini of the maritime distribution channel. The operator has to assess the value and probability of risk and translate them into a premium which he will levy on each unit of goods transported. Adding this premium to the required freight rate together with the inventory holding costs and marine insurance charges will produce the real economic cost of transport.     

柔性化港口的概念和内涵

分析了现代港口合作竞争、区域化、精益化和敏捷化的发展特点,提出了柔性化港口的概念,并研究了其具体内涵。柔性化港口应该能够快速反应运输市场变化,提供敏捷、高质量的差异化服务,促使与港口相关的供应链各环节之间的无缝连接。其内涵可从战略柔性、结构柔性和运营柔性3个层次理解,各层次作为整个柔性系统的组成部分,各自分别反应环境的变化,相互影响和促进。港口在实施柔性发展战略的过程中应该从柔性内涵出发,认真分析环境、仔细定位,实施针对性的发展对策。     

某港重力式码头结构型式比选与造价分析

针对岩基海岸某港10万t级散货泊位的重力式码头结构,进行沉箱和方块2种结构型式方案的技术经济比较和造价分析.比选分析结果表明,随着水深的增加、码头结构断面加大,方块与沉箱相比其整体性不足的缺点越发凸显,本工程重力式码头选用沉箱结构型式更为合理.     

硫酸盐还原菌对高桩码头抗震设计的影响

国际上高震区高桩梁板码头抗震设计往往采用基于位移的抗震设计方法,且采用钢管桩结构较多,而硫酸盐还原菌(SRB)能在极短时间内对钢管桩造成严重的腐蚀,危害极大。针对SRB的腐蚀机理,提出3种主要防护措施,并对物理防护法的3种不同工程应用方案进行对比研究。结合菲律宾马尼拉某集装箱码头工程设计,采用控制变量法,对3个方案分别进行push-over推覆分析求解。计算结果表明,覆盖层保护法及钢管桩泥面处局部填充混凝土法的结构抗力较大且结构延性较好。对类似工程环境的码头结构设计具有借鉴意义。     

必要费率在经济船型论证和方案比选中的应用

必要费率是港口工程多方案项目经济比选方法之一。本文通过经济船型论证,介绍了必要运费率的计算过程,进而计算出综合必要费率并进行方案经济比选,从经济角度方面推荐合理的建设方案。     

The value of options for time charterparty extension: an artificial neural networks (ANN) approach

The most frequently associated options in the physical shipping market are options to extend the charter period on time charters and additional shipment options on contracts of affreightment. The value of freight options, in practice, is estimated mostly by referring to forward curves. An option on freight has different properties from its financial counterparts, and the straightforward adoption of theoretical models does not produce promising results. In this paper, extension options, which have the property of options on futures, were transformed into regular European options before the application of the Black-Scholes model (BSM). The efficient market hypothesis, which justifies the parity of the performance of a long-term charter to that of repetitive short-term charters, worked as the basis for the transformation. The option values determined by the BSM were compared with actual realized values. Additionally, the artificial neural networks (ANN) was employed to derive the option values. This study is meaningful as the first-time application of both the closed-form solution and the ANN to the valuation of physical freight options. The research results can contribute to the quality of chartering decisions. The results could also be used in quantifying credit risk, as extension options tend to be granted to charterers with more creditability.     

Eastern/Western European shipping companies and multimodal transport operations

The purpose of this article is to discuss the current developments in multimodal cargo flows in North European freight transports from Eastern and Western European shipping companies' point of view. Four types of options were identified for shipping companies in multimodal transport operations, namely: (i) the full service operator option, (ii) the feeder operator option in container trades, (iii) the ro-ro operator option, and (iv) the ferry operator option. Option (i) requires a global transport network together with efficient information handling capabilities. This option can be reached by a limited number of mega-carriers. The scope of investment and know-how in this option is such that Eastern European operators are unlikely to achieve this level. In (ii), fleets from (or registered in) the former socialist countries have an advantage as low cost operators, provided that the quality of the operation conforms to principals' requirements. However, the supply side in the intra-European container feeder trades seems to be quite saturated, and new market shares will be very difficult to acquire in the 1990s. In ro-ro shortsea trades the major freight transport operators are well integrated into either freight forwarder driven arrangements (Sweden, Germany), or into major shippers (Finland). As providers of port-to-port transports for road-based cargoes, ferry operators continue to play an important part in international transports. However, the major incentive (and revenue) for passenger/car ferry operations is usually derived from consumers' vacational or travelling needs. Along with the ongoing transition process and a higher level of economic stability that is hopefully achieved in these countries, mergers and acquisitions by Western partners are likely to follow.     

Strategic intent: Guiding port authorities to their new world?

Following the financial tsunami many organisations are facing greater risks to their sustainability. Strategic collaborations in logistics networks, of which ports are a significant node, reduce risks for all organisations in the network, increase an organisation's ability to access efficiencies such as economies of scale and create opportunities for learning. The knowledge learnt from collaborators is enhanced by managing the key relationships and forming a strategic intent to learn for mutual benefit. Mutual benefits may include market information or innovation. As Awad and Ghaziri (2004, p. 17) comment ‘Beyond efficiency and productivity, the real benefit of collaboration is innovation.’ The more central the port authority is in this network, the greater are the opportunities for learning. Three key factors are critical for port authorities to integrate knowledge from networks; firstly, there are levels of common knowledge that enable effective communication, including concepts, behavioural norms, language and experience. Secondly integrative efficiency requires organisational routines which foster knowledge sharing through frequent, coordinated activities that are repetitive. Thirdly efficient structures within the port authority help maintain effective and efficient communication to minimise the knowledge loss on integration. Strategising provides opportunities for port authorities to steer the critical path between maintaining their current sources of competitive advantage and developing future resilience through innovation opportunities provided by learning from their trading networks. Port authorities, by developing skills in reading the collective mind and interpreting information available in trading networks, can foster resilience into the future. Given the current risky prognosis for the short-medium term following the financial tsunami, instigating strategies that may lessen those risks may be an option for port authorities.     

Fully 3D ship hydroelasticity: Monolithic versus partitioned strategies for tight coupling

This paper analyzes the partitioned and monolithic strategies to simulate tightly coupled hidroelastic problems. The seakeeping hydrodynamics solver used is based on a first-order linear time-domain FEM model with forward speed and double-body linearization. The structural dynamics solver is based on a full 3D time-domain FEM with corotational shell elements accounting for the geometric non-linearity. Both solvers are implemented under the same programming framework, which allows to implement the monolithic strategy, and to minimize the communication overheads of the partitioned strategy. Two case studies are used to test and compare the partitioned and monolithic coupling: a flexible catamaran in oblique waves, and a large floating reticulated structure made of fiber reinforced plastic. In both cases, the monolithic strategy is between three and four times faster than the partitioned strategy.This project has been developed under the H2020 project FIBRESHIP aimed at developing the technology to design and build the structure of large-length vessels in fiber reinforced polymers.     

Function based manning and aspects of flexibility

The aim of the article is to examine the concept of flexibility from a shipping perspective. Flexibility is examined in order to develop strategies, theoretical and applicable, in the field of Function Based Manning (FBM), for achieving optimized manning, which is not the same as reduced manning, with a healthy crew. This is a complex concept in many aspects. Based on research on working life and work organizations conducted by social scientists, two aspects of flexibility are examined; functional flexibility including job enrichment and competence training, and working time flexibility. These issues are analyzed from a shipping perspective. The concept is double-edged in the sense that it entails both having flexibility and being flexible. Does flexibility only serve the interests of the employer? Or, do workers also benefit from flexibility? By combining these two aspects of flexibility, a win-win situation benefiting both employers and employees can be achieved. This article highlights and discusses strategies intended to promote the implementation of a model of optimized manning.     

时限计划的预测模型和分析

本文介绍了时限计划的概念,层次,作用范围,阐述了造船计划系统的结构。应用S形曲线研究时限计划的柔性,并提出了工时矩阵的概念,建立了S型曲线的预测模型,分析了预测模型在船厂中长期计划的应用前景。