东北大学学报（自然科学版）

东北大学学报(自然科学版) ›› 2011, Vol. 32 ›› Issue (7): 1048-1052.DOI: -

• 论著 • 上一篇    下一篇

基于机会规划的房地产投资时机决策

庄新田;朱俊;刘洋;   

  1. 东北大学工商管理学院;北京大学光华管理学院;
  • 收稿日期:2013-06-19 修回日期:2013-06-19 发布日期:2013-04-04
  • 通讯作者: -
  • 作者简介:-
  • 基金资助:
    国家自然科学基金资助项目(70871022)

Investment opportunity research of the real estate based on chance programming

Zhuang, Xin-Tian (1); Zhu, Jun (1); Liu, Yang (2)   

  1. (1) School of Business Administration, Northeastern University, Shenyang 110819, China; (2) School of Guanghua Management, Peking University, Beijing 100817, China
  • Received:2013-06-19 Revised:2013-06-19 Published:2013-04-04
  • Contact: Zhuang, X.-T.
  • About author:-
  • Supported by:
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摘要： 将实物期权的净现值分析和马尔可夫转移矩阵相结合,利用房地产企业家信心指数,构建出反映宏观经济变动的马尔可夫-贝叶斯转移矩阵.在此基础上,从房地产企业投资决策所蕴含的实物期权价值出发,利用机会约束将市场价格风险纳入投资决策的分析框架,以不同的马尔可夫状态的必要投资回报率进行现金流贴现,在多阶段情景树的基础上,构建出多阶段0-1整数机会规划来研究房地产企业最优的投资决策时机.以宝钢集团企业开发总公司的靖江项目为背景,给出实证分析.

关键词: 房地产, 机会规划, 整数规划, 期权, 情景树

Abstract: Combining the net present value analysis of the real options with the Markov transition matrix, and using the real-estate enterpriser confidence index, the Markov-Bayesian transition matrix was constructed by which the changes of the macro-economic was reflected. Based on these, from the value of the real options contained by the investment decisions of the real estate enterprise, making use of the chance restriction to bring market price risk into the investment decision-making analytical framework, and discounting the cash flows by the required investment return rate of the different Markov states, a 0-1 integer chance programming was established to study the opportunity optimal investment decision based on the multi-stage scenario tree mode. Empirical analysis of the Jingjiang item invested by the Baosteel Group Enterprise Development Corporation was also presented.

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