序列投资下的石油勘探投资最优时机选择

doi:10.16381/j.cnki.issn1003-207x.2017.1414

中国管理科学 ›› 2020, Vol. 28 ›› Issue (10): 54-64.doi: 10.16381/j.cnki.issn1003-207x.2017.1414

序列投资下的石油勘探投资最优时机选择

王玲^1,2, 张金锁³, 邹绍辉^1,2

1. 西安科技大学管理学院, 陕西西安 710054;
2. 西安科技大学能源经济与管理研究中心, 陕西西安 710054;
3. 延安大学经济管理学院, 陕西延安 716000

收稿日期:2017-10-21 修回日期:2019-08-29 出版日期:2020-10-20 发布日期:2020-11-11
通讯作者: 张金锁(1962-),男(汉族),陕西凤翔人,延安大学党委书记,延安大学经济管理学院,教授,博士生导师,博士,研究方向:能源经济与管理,E-mail:mark56zhang@163.com. E-mail:mark56zhang@163.com
基金资助:
国家自然科学基金资助项目（71273206，71704140）；陕西省教育厅年度重点科学研究计划（18JT008，18JZ039）；陕西省科技厅软科学研究计划项目（2019KRM016）

The Optimal Investment Timing of Petroleum Resources Exploration Based on Sequential Investment Theory

WANG Ling^1,2, ZHANG Jin-suo³, ZOU Shao-hui^1,2

1. School of Management, Xi'an University of Science and Technology, Xi'an 710054, China;
2. Energy Economy and Management Research Center, Xi'an University of Science and Technology, Xi'an 710054, China;
3. School of Economy and Management, Yan'an University, Yan'an 716000, China

Received:2017-10-21 Revised:2019-08-29 Online:2020-10-20 Published:2020-11-11

摘要/Abstract

摘要： 综合考虑石油勘探投资的不可逆性、序列性和不确定性，结合市场需求和勘探储量的不确定性刻画勘探储量转让价格的随机动态变化，运用实物期权思想下的序列投资决策方法探究了石油勘探项目的最优投资时机选择问题，得出各阶段最优投资时机临界值的解析表达式，并与一次性完成投资的决策结果进行对比，进而剖析了不确定性参数对各阶段最优投资时机的影响。结果表明，序列投资决策模型能够弥补一次性投资决策模型容易错失投资机会的局限性；各阶段最优投资时机临界值同市场需求波动率、勘探主体价格控制能力呈同向变动，同市场需求漂移率呈反向变动；随勘探进程的不断深入，最优勘探投资时机临界值对以上参数的敏感性程度不断增强。

关键词: 石油勘探项目, 序列投资, 勘探储量转让价格, 最优投资时机, 实物期权

Abstract: The traditional method to solve the investment decision of petroleum exploration projects is cash flow discount method. However, such methods ignore the importance of the irreversibility, uncertainty and the interaction between timing and quality, which may lead to short-sighted investment or poor decision-making. Considering the irreversibility, stages and uncertainties of petroleum exploration investments, combining the uncertainty of market demand and exploration reserves, the stochastic dynamic change of the transfer price of exploration reserves is obtained. Based on the sequential investment decision method, the optimal investment timing of petroleum exploration is derived, and the critical values of analytical solutions to the optimal investment timing are obtained. In addition, they are compared with the one-time investment decision-making results, and the influences of uncertainty parameters on optimal investment timing are discussed. The main contributions are as follows. (1)The critical values of the optimal investment timing for each stage of the oil exploration sequential investments are mainly due to such uncertainties as risk-free interest rates, unit exploration cost, market volatility, market drift rates, the prospectors' ability to control over the transfer price of exploration reserves, and the additional exploration reserves at each stage.(2)Sequential investment decision model can make up for the shortcomings of one-time investment which is easy to miss the investment opportunities.(3)The optimal investment timing is positively correlated with the fluctuation of market volatility and prospectors' ability to control over the transfer price of exploration reserves, and negatively correlated with the market drift rates. (4)With the development of the exploration process, the sensitivity of the optimal exploration investment timing to the parameters above is increasing. This paper can enrich and expand the application of real options theory in the investment decision-making of petroleum resource exploration projects, and provide some theoretical basis and decision-making reference for the optimal timing of the sequential investment of exploration.

Key words: petroleum exploration projects, sequential investment, the transfer price of exploration reserves, optimal investment timing, real options

中图分类号:

F272

王玲, 张金锁, 邹绍辉. 序列投资下的石油勘探投资最优时机选择[J]. 中国管理科学, 2020, 28(10): 54-64.

WANG Ling, ZHANG Jin-suo, ZOU Shao-hui. The Optimal Investment Timing of Petroleum Resources Exploration Based on Sequential Investment Theory[J]. Chinese Journal of Management Science, 2020, 28(10): 54-64.

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序列投资下的石油勘探投资最优时机选择

The Optimal Investment Timing of Petroleum Resources Exploration Based on Sequential Investment Theory

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