Project investment decision-making based on inventory financing with stochastic demand

Transcription

1 JOURNAL OF SYSTEMS ENGINEERING Vol.31 No.2 Apr ,2, 1,2, 1,2, 1,2 (1., ; 2., ) :,,.,.,,,,. : : F253.4 : A : (2016) doi: /j.cnki.jse Project investment decision-making based on inventory financing with stochastic demand Sun Hailei 1,2, Wang Yong 1,2, Chen Xiaoxu 1,2, Wang Yili 1,2 (1. School of Economics and Business Administration, Chonging University, Chonging , China; 2. Chonging Key Laboratory of Logistics, Chonging University, Chonging , China) Abstract: Combining investment decision with inventory pledge financing and inventory management, using the joint decision-making mechanism, assuming cargo demand is random, a project investment model is set up based on the enterprise s inventory pledge financing. By comparing solutions of the model with the expected profit under normal selling, the investment decision is derived. Finally, a numerical example of small and medium-sized enterprises investment decision-making is given. The results show that the optimal decision of these enterprises is to use the inventory pledge financing mode for object investment. The optimal pledge amount for inventory pledge financing is also determined. The impact of the parameter changes on the expected profit of the enterprise and the investment decision is analyzed. Key words: inventory pledge financing; inventory management; project investment decisions 1, , : ; : : ( ; ); (CQKLL12002); (12YJA630135); (J15WB54).

2 ,., ( ),, [1]. 1999,.,. [2],. [3],. [4],. [5],. [6] L-VaR,. [7]. [8],. [9]. [10],,.,, Jokivuolle [11], Merton. Cossin [12],,.,.,. Buzacott [13]. Li [14],. [15]. [16]. [17].,,,,,.,,.,.,.,,,,,.,. 2, T,,, S, R(S), R(S) = AS, A 1; R(S) = BS, 0 B < 1. α 1 α. S E[R(S)] αas + (1 α)bs. T, λ, I r

3 2 : , p, λ 1 p. M + C 3 1, M, C 3. TC( 1 ) (1 + I r T)λ 1 p + M + C 3 1. Q, K, C 1, C 2, T r, f( ) F( )., T min(r,q), pmin(r,q), K min(r,q), C 1 (Q) = C 1 (Q r) +, C 2 (Q) = C 2 (r Q) +, T W 1 (Q), E[W 1 (Q)] = Q 0 p xf(x) dx + Q p Qf(x) dx Q Q 0 C 1(Q x)f(x) dx 0 Kxf(x) dx Q KQf(x) dx Q C 2(x Q)f(x) dx. (1),,,.,,,, E[W 1 ()],, Q, λp(q ),, E[R(λp(Q ))], TC(Q )., E[W 2 ()] = E[W 1 ()] + E[R(λp(Q ))] TC(Q ) = pxf(x) dx + pf(x) dx Kxf(x) dx Kf(x) dx 0 0 C 1( x)f(x) dx C 2 (x )f(x) dx + αaλp(q ) + 0 (1 α)bλp(q ) (1 + I r T)λ(Q )p M C 3 (Q ). (2) (2) de[w 2()] de[w 2 ()] = (p K + C 2 ) f(x) dx C 1 f(x) dx αaλp (1 α)bλp + (1 + I rt)λp + C 3, (3) 0 F() = 0 de[w 2 ()] (2) de[w 2()] f(x) dx, (3) = (p K + C 2 )(1 F()) C 1 F() αaλp (1 α)bλp + (1 + I r T)λp + C 3. (4) E[W 2 ()], de[w 2()] d 2 E[W 2 ()] 2 = ( )f() < 0, (5) = 0, E[W 2 ()] 0, 0 = F 1 ( ( αa B + αb Ir T)λp + p K + C 2 + C 3 ). (6) U = ( αa B + αb I rt)λp + p K + C 2 + C 3. (7) U < 0, F() 0,, 0.,.,.

4 , 0, 0 0 Q = Q, 0 > Q. (8) : 1 T, ; I r, ; α,. F( ), F 1 ( ), U T = I r λp > 0, U T, 0 T, T., T,. 1. 1,,,,,,,,. 2., αa B + αb I r T < 0, λ, ;, αa B + αb I r T < 0,,. F(x), F 1 (x), U λ = ( αa B + αb I rt)p, αa B + αb I r T < 0, U λ < 0, U T, 0 T, T., λ,.. 3. C 1, ; C 3,. 3 1,. 3,,,,,,,. 3, 1 : 1, (1), E[W 1 (Q)]; 2 (7) U, U 0, (6), 0,, 0 = 0; 3 0 (8), (2), E[W 2 ( )]; 4 E[W 1 (Q)] E[W 2 ( )], E[W 1 (Q)] < E[W 2 ( )],,, Q ;,,.

5 Q 2 : 231 4,. ( ), T = 1,, 1.6 ( A = 1.6),, 0.5 ( B = 0.5), α = 0.7.,. Q = t, K = 50 / 10 4 t, p = 100, C 1 = 1, C 2 = 150. T = 1 [0,1], F(x) = x, f(x) = 1., λ = 0.7, I r = 0.05,. M = 3, C 3 = 1.,,., 1, E[W 3 (Q)]=24.30,, t, t, E[W 4 ( )] = 27.92, 3.62, 14.9%.,, t. 1 3, 1, 2,.,,,. 3, α λ ^ α Fig. 1 The effect of the success rate α of investment on the optimal inventory 2 λ Fig. 2 The effect of loan-to-value ratio λ on the optimal inventory 3 Q Fig. 3 The effect of the initial inventory Q on the optimal inventory 4 6, 4 5,,,. 6,,..

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