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Mathematical Methods for Flexible Planning of Infrastructure Investment Projects under Uncertainty

Research Project

Project/Area Number 13450206
Research Category

Grant-in-Aid for Scientific Research (B)

Allocation TypeSingle-year Grants
Section一般
Research Field 交通工学・国土計画
Research InstitutionTohoku University

Principal Investigator

AKAMATSU Takashi  Graduate School of Information Sciences, Associate Professor, 大学院・情報科学研究科, 助教授 (90262964)

Co-Investigator(Kenkyū-buntansha) MORISUGI Hisayoshi  Graduate School of Information Sciences, Professor, 大学院・情報科学研究科, 教授 (80026161)
Project Period (FY) 2001 – 2002
Project Status Completed (Fiscal Year 2002)
Budget Amount *help
¥4,600,000 (Direct Cost: ¥4,600,000)
Fiscal Year 2002: ¥2,000,000 (Direct Cost: ¥2,000,000)
Fiscal Year 2001: ¥2,600,000 (Direct Cost: ¥2,600,000)
KeywordsInvestment under Uncertainty / Real Options / Evaluation of Infrastructures / Incomplete Markets / Arbitrage Pricing / Variational Inequalities / Graph Structure / Stochastic Control / 確率的制御
Research Abstract

This study presents a framework and mathematical methods for dynamic decision-makings of infrastructure investment/management under economic uncertainly. Specifically, an infrastructure project is defined as a bundle of complex options (assets) with stochastic cash flow streams, and is formulated as a stochastic impulse control problem in which control variables have interdependency represented as a graph-structure. We then focuses on two problems
(1) controlling the activities of the bundle of options with complex chain-structure
(2) evaluating "incomplete market (basis) risks" intrinsic in infrastructure management problems. For the former problem, we reveal that a family of control problems formulated in (1) reduces to a standard form Non-linear Complementarity/Variational Inequality problem (NCP/VIP) in a unified way; furthermore, we show that the problems can be solved very efficiently, exploiting the idea of graph-theory based decomposition schemes and the NCP/VIP transformation approach. For the latter problem, we propose a new approach for pricing options in incomplete markets, in which a unique martingale measure is estimated under the no arbitrage constraints and a KL-information criterion. We show that the problem is equivalent to a certain type of portfolio hedging problem consistent with the utility maximization framework. Efficient algorithms for evaluating various real options are also presented.

Report

(3 results)
  • 2002 Annual Research Report   Final Research Report Summary
  • 2001 Annual Research Report
  • Research Products

    (13 results)

All Other

All Publications (13 results)

  • [Publications] 赤松 隆, 長江剛志: "経済リスクを考慮した社会基盤投資プロジェクトの動学的財務評価"土木学会論文集. IV-60(掲載予定(印刷中)). (2003)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2002 Final Research Report Summary
  • [Publications] 長江剛志, 赤松 隆: "不完備市場におけるリアル・オプション評価"応用地域学研究. 8(掲載予定(印刷中)). (2003)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2002 Final Research Report Summary
  • [Publications] 赤松 隆, 長江剛志: "不確実性下での社会基盤投資・運用問題に対する変分不等式アプローチ"土木学会論文集. IV-61(掲載予定). (2003)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2002 Final Research Report Summary
  • [Publications] Takashi Akamatsu and Takeshi Nagae: "Dynamic Pricing and Hedging of Projects with Stochastic Cash Flow Streams: An Entropic Projection Approach"JSCE Journal of Infrastructure Planning and Management. IV-60. (2003)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2002 Final Research Report Summary
  • [Publications] Takashi Akamatsu and Takeshi Nagae: "Pricing of Real Options in an Incomplete Market"Journal of Applied Regional Science. No.8. (2003)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2002 Final Research Report Summary
  • [Publications] Takashi Akamatsu and Takeshi Nagae: "Variational Ineauqlity Approach to Infrastructure Investment/Management Problems under Uncertainty"JSCE Journal of Infrastructure Planning and Management. IV-61. (2003)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2002 Final Research Report Summary
  • [Publications] 赤松 隆, 棟方章晴: "確率的インパルス制御アプローチによる有料道路料金変更法"土木計画学研究・講演集. 26. 93 (2002)

    • Related Report
      2002 Annual Research Report
  • [Publications] 赤松隆, 長江剛志: "動学的不確実性下でのプロジェクト価格評価:逆問題アプローチ"土木計画学研究・講演集. 26. 306 (2002)

    • Related Report
      2002 Annual Research Report
  • [Publications] 赤松隆, 長江剛志: "経済リスクを考慮した社会基盤投資プロジェクトの動学的財務評価"土木学会論文集. IV-60(737)(掲載予定(印刷中)). (2003)

    • Related Report
      2002 Annual Research Report
  • [Publications] 長江剛志, 赤松 隆: "不完備市場におけるリアル・オプション評価"応用地域学研究. 8(掲載予定(印刷中)). (2003)

    • Related Report
      2002 Annual Research Report
  • [Publications] 赤松 隆, 長江剛志: "不確実性下での社会基盤投資・運用問題に対する変分不等式アプローチ"土木学会論文集. IV-60(737)(掲載予定(印刷中)). (2003)

    • Related Report
      2002 Annual Research Report
  • [Publications] 赤松 隆, 長江剛志: "連鎖的な意思決定構造を持つプロジェクトの動学的評価法:グラフ・オプション・モデルとその解法"土木学会論文集. IV-61(744)(審査中). (2003)

    • Related Report
      2002 Annual Research Report
  • [Publications] 赤松 隆: "不完備市場でのリアル・オプション評価"土木計画学研究・講演集. 24. 504 (2001)

    • Related Report
      2001 Annual Research Report

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Published: 2001-04-01   Modified: 2016-04-21  

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