Effect of risk preference on the valuation of time charter contracts with extension options

ABSTRACT

The literature on valuation of time charter contracts and real options in shipping generally relies on the complete markets hypothesis and the risk-neutrality of agents. However, these assumptions fail completely in some shipping market segments. This study proposes a numerical approach—based on discounting the certainty equivalent payoff at the risk-free rate—which incorporates the agent’s risk preferences through an exponential utility function. The method comprises an iterative Monte Carlo nested simulation with the real probability measure. This method is applied to a case of Suezmax tankers. The stochastic evolution of the time charter rates is modelled as a geometric mean-reverting process. The case study supports the applicability of the proposed method and evidences that the effect of risk preference may be significant, mainly for more risk-averse agents. Although the method involves intensive computation, it has the benefits of theoretical ease and flexibility, which could encourage utilisation by practitioners.     

Towards improved port capacity investment decisions under uncertainty: a real options approach

ABSTRACT

Port activity plays an important role in facilitating international trade. Sufficient capacity is indispensable for a port to attract flows to a region and retain them. The capacity decision is the result of a trade-off between investment and waiting costs. Traditional methods to value expansion projects do not deal adequately with managerial flexibility in the face of uncertainty from different sources in the complex port environment. In this paper, real options (RO) models are identified as an alternative method to making project valuations and investment decisions, as they attribute the correct value to managerial flexibility under uncertainty. In order to be able to build and use such RO models for port capacity investment decisions, the sources and implications of uncertainty in the port and the different RO model specifications need to be understood. To this end, both the literature about uncertainty in the port context and the literature about real options models are reviewed in order to provide researchers who want to build their own decision-making models, with the necessary knowledge of both fields. The review makes clear that the complex interactions in and competition between the logistics chains and their actors coming together in ports have significant impacts on port capacity. Uncertainty is also caused by uncertain international trade flows and changes in legislation following new technologies and environmental impacts. An analysis of the components of some general RO models shows how the options of flexible output, investment size and timing are valued by RO models in a setting with demand uncertainty. Moreover, the review presents researchers with insights in how to deal with cooperative and competitive interactions in the chain, time to build, cyclical markets and legislation changes. It also shows how to value the expansion and the phased investment options. The new insights resulting from this review are subsequently combined in a framework that serves as a guideline to build RO models for port capacity investments. Finally, an exemplifying application of the framework is used to build an actual port capacity investment decision model.     

Examining the Political and Practical Reality of Bus-based Real Time Passenger Information

Abstract

Enhancing the bus experience through improved information provision is a key element of UK Government transport policy. Real time passenger information (RTPI) is perceived to reassure waiting passengers, to benefit the bus operator through increased revenue and the local authority, by promoting social inclusion and achieving a modal shift. RTPI also provides an important tool for operators by allowing them to monitor services and refine their schedules.

The aim of this paper is to understand the reasons for implementing RTPI in the bus sector, and to determine the key issues impacting on the likely success of such a policy. A case study approach investigates the experiences of two provincial towns in the UK. The paper suggests that, whilst it is unclear whether RTPI has resulted in an increase in bus patronage, it is considered to be most effective when combined as part of a package of measures. It is intended that the findings from the two case studies will reveal lessons of relevance to authorities contemplating the introduction of RTPI.     

基于实物期权与净现值法的飞机租赁决策研究

目前,飞机租赁是我国机队引进飞机的主要方式.航空公司结合自身情况对飞机租赁方式进行选择,对航空公司未来发展起到了至关重要的作用.在传统净现值法的基础上,引入多级实物期权法,分别对飞机经营性租赁与飞机融资性租赁进行分析,从而做出最优决策.该方法考虑了项目的不确定性,分析管理层在中途修正战略的价值,弥补了传统净现值法不考虑管理决策层采取柔性投资策略价值的缺陷.     

中国纯电动乘用车政策

我国新能源汽车正在蓬勃发展,其发展离不开政府的政策扶持。文章介绍了中国纯电动乘用车政策,同时阐述了各地方政府的优惠政策和拟出台的《纯电动乘用车技术条件》标准。指出目前我国电动乘用车水平与国外差距较大,国家和地方政府鼓励政策力度不够,许多问题仍然没有成熟的解决方案,今后应该认真总结经验教训,研制功能完善的新能源汽车。     

基于条件生成对抗网络的扇区复杂度评估

扇区复杂度作为管制员工作负荷和动态空域配置的重要参考依据，需要事先准确地对其 进行评估。本文针对有监督复杂度数据集存在的小样本问题，提出基于条件生成对抗网络的扇 区复杂度评估框架。首先，构建交通流量、航空器性能和潜在冲突这3类复杂度指标，并结合主观 复杂度等级得到标定样本；其次，利用条件生成对抗网络设计有标记样本生成算法，获得增广数 据集；最后，分别采用逻辑回归、支持向量机和随机森林算法建立复杂度评估模型。以中南区域 扇区为例，从定性和定量的视角验证生成样本的有效性，并在多种训练集配置下对比各模型评估 结果。研究结果表明：条件生成对抗网络在200次迭代后逐步收敛至稳定；生成样本与真实样本 的绝大多数指标在均值上的相对误差小于5%，在标准差上的相对误差大于5%；在多分类评价指 标下，增广数据集对3种模型整体评估精度分别提升11.77%、11.04%和8.34%。本文提出的评估 框架可以在有限数据条件下提高样本多样性，是解决扇区复杂度评估问题的一种有效方法。     

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。     

运用策略路由解决网络多出口问题

为了减轻互联网经营中的流量成本压力,可以租用网通、电信的第三方通道。为了克服网通、电信之间的互联瓶颈,采用策略路由,判断数据包的源地址、目的地址,从而实现流量智能转发。     

城市交通一体化背景下公共交通发展策略研究

文章分析了公共交通在城市交通一体化发展模式下的功能定位,并从城市交通结构、线网布局和交通政策三方面阐述了我国目前公共交通发展存在的问题.最后在此基础上提出几点关于在城市交通一体化发展模式下的公共交通发展策略.     

A virtual environment for the formulation of policy packages

The interdependence and complexity of socio-technical systems and availability of a wide variety of policy measures to address policy problems make the process of policy formulation difficult. In order to formulate sustainable and efficient transport policies, development of new tools and techniques is necessary. One of the approaches gaining ground is policy packaging, which shifts focus from implementation of individual policy measures to implementation of combinations of measures with the aim of increasing efficiency and effectiveness of policy interventions by increasing synergies and reducing potential contradictions among policy measures. In this paper, we describe the development of a virtual environment for the exploration and analysis of different configurations of policy measures in order to build policy packages. By developing systematic approaches it is possible to examine more alternatives at a greater depth, decrease the time required for the overall analysis, provide real-time assessment and feedback on the effect of changes in the configurations, and ultimately form more effective policies. The results from this research demonstrate the usefulness of computational approaches in addressing the complexity inherent in the formulation of policy packages. This new approach has been applied to the formulation of policies to advance sustainable transportation.