magnadonnelly上海汽车科技有限公司投资项目的决策

上海交通大学硕士学位论文MAGNADONNELLY（上海）汽车科技有限公司投资项目的决策姓名：徐建人申请学位级别：硕士专业：工程经济指导教师：蔡建国;肖绪力20070301-I-,MagnaDonnelly123Black-Scholes-II-DECISIONOFINVESTMENTPROJECTMAGNADONNELLYSHANGHAIAUTOMOTIVETECHENOLOGYCOMPANYABSTRACTItisabroadlyconcerned,notonlyonthetheorybutinpractice,studytopicinTechnologyManagementfieldthathowtosetupinvestmentstrategyofR&Dprojectunderuncertaintyconditions.DuetoR&Dprojectisakindoflongtermandstrategicbasicinvestmentone,itfacesavarietyofuncertaintiesanddecision-makingflexibilities.Thispapershowsthemethodofinvestmentdecisionevaluation,detailingthegeneralconcept,evaluationbasis&method,riskestimationandanalysisonthedecisionofinvestment.Traditionalquantitativeevaluationmethodsnormallylosepotencytoit.Bytakingallkindsofuncertaintiesonconsideration,RealOptionstheorycanprovidesmoreflexibilitytoinvestmentdecision-makingprocess,soitattractedgreatinterestfromacademicfield.ThispapertakesaforeigninvestmentprojectofMagnaDonnelly(Shanghai)AutoTechnologyCo.Ltdasanexample.Thepotentialprofitandrisksshowedonthispaperiscalculatedandestimatedaccordingto5yearSalesForecastandcurrentmarketingsituationsviathemethodofinvestmentdecisionevaluation.Meanwhile,itliststhesourceandthecapabilityofreimbursement.Thepurposeofthispaperisthatthemethodoffinancialprofitevaluationandriskestimationcanbeascientificjudgetoolinnationalprojectssuchasinvestmentincrease,facilitymovementorenlargement,re-arrangelocalization,toavoidblindness,tooptimizeprofitoftheinvestment.KEYWORDS:ProjectEvaluation,ProfitandRiskanalysis,RealOption____-1-1.1ResearchandDevelopment,R&D4%0.5%1.5%1%R&DR&DNPVR&D-2-DELTANPVNPVNPVSylviaPanayiLenosTrigeorgis1998NPVNPVNPV=NPV+R&DR&DNPVR&DR&DR&D1.2MagnaDonnellyR&D5-3-Black-Scholes1.3MD4-15-4-MagnaDonnellyR&D***MDST***MDST************-17-3.13.23.33.3.11-18-PtPt(C1-C0)t=03.1t=1Pt=(-1)+/CI--------C0--------Pt--------2=/3.3.21PVnetpresentvalueNPV1233.2-19-nNPV=CI-COi1+ic-t3.2i=1CI--------CO--------CI-COi--------in-----------ic----------2(internalrateofreturn)(IRR)=n(CI-CO)t(1+IRR)-t=03.3i=03.3CICOnIRRIRRnIRRn10%20%10%10%12123-20-NPVNPVR=--------------3.4IpNPVR------NPV--------Ip-----------NPVR0NPVR0003.43.4.13.4.21-21-212333.4.31123233.4.4(1)1)-22-21234521-23-2EttAitiPitinEt=Ait*Pit3.53tt=(Ait-Et)2Pit1/2(3.6)Ait--iEt--ti--Pit--in=t2/(1+Rf)2t1/2(3.7)t=1Rf4)V=/E(3.8)(3)NPVNPV-24-ttXX=t(Rf)t(3.9)ttt1tt1tt=(NPVx-NPV)2Px(3.10)NPVxXNPVNPVPx3.53.5.1123-25-Option,3.5.2Option1231233.5.3NPV:SNPV=NPV+C3.11-26-SNPVNPVCNPV3-13-1NPVAItSEtI(0),TA(t),t0t0I(t0),t0+1….TA’(t)3.123-2I(0)A(t)(t=1,2,…,T)I(10)A’(t)(t=t0+1,t0+2,…,T)r,iRSNPVNPVC1NPVNPVNPV=A(t)(1+r)-t-I(0)(3.12)nNPV=CI-COi1+ic-t3.2i=12CBlack-ScholesB-SC=SN(d1)-Ee-RtN(d2)(3.13)S=Ndi=diNd1N(d2)-27-E=R=t=3-1NPVC=A’tN(d1)-Ite-RtN(d2)(3.14)A’t===A’(t)(1+r)-tIt===I(t0)d1=InA’t/It+(R+2/2)t/t1/2d2=d1-t1/2NPVSNPV=NPV+C18406151142653-3MDST1234567184061511421869162922092900290029006519275100+13785+1527%6%651NPV10NPV=A(t)1+7%-t-I(0)=9736()2CA3=A’(t)(1+7%)-t=75/(1+7%)4+100/(1+7%)5+85/(1+7%)6=185I3=65t=4-1O=40%3.13C=SN(d1)-Ee-RtN(d2)567C=52.93SNPVSNPV=NPV+C=9736+52.9=9863.9SNPVNPV,-28-4.18040.00100.00EC3.402.00SUUB12.004.211997FNPVFIRRPt2199530554SIMEESIMEE12,4-155A,2000-29-B,C,17%7%3%33%D,Ic=7.0%101994.31280MD3605375187735001840374544.41537518803500MagnaDonnelly802-30-14.51235%52%70%95%,100%6(2AECB933800C1%D1010E5%6%0.6%63623310698F620057-8%G6(4.61019-31-119.28%7%97364655294.5n(CI-CO)t(1+IRR)-t=0i=0IRR=i1+(i2-i1)/(NPV1/NPV1+NPV2)=15%+(20%-15%)/(2149/(2149+364))=19.28%nNPV=CI-COi1+ic-1i=1NPV=(-4422)*0.9346+(-3548)*0.8734++8035*0.5439+12379*0.5083=9736Pt(CI-C0)t=0t=1Pt=(-1)+/Pt=(5-1)+844/1684=4.5()82A33%3%523B5%5%2.5%MagnaDonnelly17.41%5.74%87.11%-92-10-32-4.7145%5BEP43%24%SUUB5BEP57%BEP290%95%105%110%80%90%110%120%4-1FIRRFNPVPt90%11.78%3,3165.095%15.84%6,5264.7100%19.28%9,7364.5105%22.42%12,9454.3110%24.88%16,1554.24-2FIRRFNPVPt80%1.65%-3.1065.890%11.784%3.3165.0100%19.28%9,7364.5110%23.14%16,1554.2120%29.59%22,5733.985%5.4-33-FIRR0.00%5.00%10.00%15.00%20.00%25.00%30.00%-10%-5%100%5%10%(%)%)4.81537519.28%4.543%SUUB57%270%320%MD-34-MagnaDonnellyR&DR&DNPVIRRPt-35-1..20032..20003SydneyHowell..20054.20061525.2007126..20017..20048EugeneF.BrighamMichaelC.Ehrhardt..20059RichardA.BrealeyStewartC.Myers..200410..200511AswathDamodaran..200212..200213..200414AvinashK.DixitRobertS.Pindyck..200215..200216..200017..200218JamieRogers..200319..200520..200121BenjaminM.FriedmanFrankH.Haln..200222..200523..200124..200625I..200226..200427..2004-36-28..200329..200430..200531..200132...200533..200134..199735..199736..199737..199738..199939..199740..199541..199742..199043..199844..199945..198946..199647..199948..199349..199850..199751..199952..199953..199754..199555..199956..199857..200058..199559..199560..199861..199462...2000.0363...2000.053705101512382006391200535456615200818~202720072047184580457048152431215200630134332201041.31520073630302008601520102010132010153201062.6540172007404020201050352007502010100202010703030452520105015304027563--2005PASSATSpark20051652005200530200533011162002200520200510414112047200520